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Arthur Conolly (1807 - June 1842) (sometimes misspelled Connolly) was a British intelligence officer, explorer and writer. He was a captain of the Sixth Bengal Light Cavalry, who worked for the British East India Company.

Conolly participated in many reconnaissance missions into Central Asia and coined the term The Great Game to describe the struggle between the British Empire and the Russian Empire for domination over Central Asia. In 1829, in a correspondance with Sir Henry Rawlinson, Conolly used the term to describe the "beauty" of the mission Russia and Britain had undertaken "to civilize Asian races." Often travelling in disguise, he used the name "Khan Ali" in a word-play on his true name. In late 1829 he left Moscow for the Caucasus and Central Asia, arriving in Herat in September 1830 and in India in January 1831. In 1834 he published an account of his trip, which established his reputation as a traveler and writer.

In 1841, in an attempt to counter the growing penetration of Russia into Central Asia, Conolly unsuccessfully tried to persuade the various khanates to put aside their differences. In November 1841 he was captured on a rescue mission to free fellow British officer Lieutenant Colonel Charles Stoddart held in Bukhara. The two were executed by the Emir of Bukhara, Nasrullah Khan in June 1842 on charges of spying for the British Empire.

In 1845, Rev. Joseph Wolff, who had undertaken an expedition to discover the two officers' fate and barely escaped with his life, published an extensive account of his travels in Central Asia, which made Conolly and Stoddart household names in Britain for years to come.

Conolly's portrait by James Atkinson is in the British National Portrait Gallery. His 1840-1842 diaries as well as his letters and reports to Sir J. C. Hobhouse and William Cabell are in the British Library; his 1839 letters to Viscount Ponsonby are in the Durham University library.

• Lt. Arthur Conolly. Journey to the North of India through Russia, Persia and Afghanistan- (2 Vols.). London, Richard Bentley, 1834. Reprints:
  • Elibron Classics, 2002.
  • New Delhi, Laurier Books Ltd, Asian Educational Services, 2001, ISBN 81-206-1589-1

• Peter Hopkirk. The Great Game, Kodansha International, 1992, ISBN 4-7700-1703-0, 565p. The timeline of the Great Game is available online.
• Rev. Joseph Wolff (1795 - 1862). Narrative of a mission to Bokhara, in the years 1843-1845, to ascertain the fate of Colonel Stoddart and Captain Conolly. London, J.W. Parker, 1845. First and second (revised) edition both came out in 1845. Reprints:
  • New York, Harper & Bros., 1845
  • Edinburgh and London, William Blackwood & Sons, 1848
  • New York, Arno Press, 1970 ISBN 0-405-03072-X
  • Elibron Classics, 2001, ISBN 1-4021-6116-6
  • A mission to Bokhara. Edited and abridged with an introduction by Guy Wint. London, Routledge & K. Paul, 1969. ISBN 0-7100-6456-X