Firstly you MUST take note that the Scottish Horse formed part of the Imperial Yeomanry and although most Scottish Horse troops were enrolled in South Africa, some did enrol in the UK.
I’ve looked at the David Lennie who’s listed as being in the Imperial Yeomanry and he served in the 11th Middlesex Company, 11th Battalion of the I.Y. not the Scottish Horse. To confirm it is or isn’t your relative, David Lennie was born 1881 in Edinboro (sic), Midlothian. An engineer by trade he was living at Balham SW London when he enlisted into the I.Y. on 24 February 1901 and was discharged in Sept 1902.
In the both the photographs there’s no indication of where they were taken, so it’s entirely possible they were taken “at home” and at least one when he was serving with a local unit (NZ Volunteers perhaps?); his change in hat style could indicate a change in unit.
In the photograph showing him alone, except for the lack of the black plume not showing on the upturn side of his hat, his uniform is typical of that worn by Scottish Horse and other Boer War mounted troops and the tunic looks to be the Australian/New Zealand pattern with large hip pockets. I can’t make out his collar insignia but again it is typical of ANZ troops and collar insignia were rarely worn by British contingents of the Imperial Yeomanry who wore shoulder titles.
In the second picture of him as an older man, he’s again wearing the Australian/NZ style tunic together with a 1903 pattern bandolier that was worn by mounted troops from 1904 and throughout WWI. Again his collar insignia aren’t clear enough to identify.
You said, “I cant find any record of a Lennie or McClellan in the Scottish Horse Troop records at British archives”; do you mean you or a 3rd party actually checked the enrolment forms in document series WO 126 at Kew or some other list/database online?
WO 126 War Office: Local Armed Forces, Enrolment Forms, South African War
WO 126/125 Scottish Horse. [surnames beginning] M-Ri
WO 126 records are not available online.
The Nominal Roll of the Scottish Horse from WO 127, including images of the actual pages and a description of the Scottish Horse is available online at http://www.angloboerwar.com/unit-information/south-african-u...
Looking through the M surname images of the Nominal Roll (images 74-95), there are a few McClennan, McClelland and Mclellan names. One that stands out is listed on image 85 as 40071 McClennan Wm., and he’s listed again on image 93 but as 40071 McLelland and the last “d” has a red line through it. To me a search of the actual enrolment forms, armed with his personal details, date & place of birth, residence etc., is needed, but you should also check for records in either Australia or New Zealand as the records (or at least duplicates) of those countries Boer War Veterans should be held in their respective archives.
Almost forgot, to find a list of ALL Mcclellan and Mclellan soldiers who served in the Boer War search for Mccle then Mcle at http://members.pcug.org.au/~croe/sotq/sotq_abw.cgi
you will find one David Mclelland No 43178 who served in the 37th Battalion Imperial Yeomanry and that was a Scottish battalion. Unfortunately the 37th battalion IY was formed in 1901 and didn’t get to South Africa until after the war had ended, so although he received the Queen’s South Africa Medal he wasn’t entitled to any clasps.
He’s turned out to be a bit of a puzzle because I’m unable to locate any attestation papers for him in WO 128.
Best I can do.