On 23 October 1939, the German-flagged tanker Emmy Friederich scuttled herself on encountering Saguenay in the Yucatán Channel, and thus became the Canadian destroyer's first war conquest. In December 1939, Saguenay returned to Halifax to join the local convoy escort force, with which she remained until 16 October 1940, when she was transferred to Greenock, Scotland to serve as a convoy escort on the North Atlantic run. On 1 December 1940, Saguenay was torpedoed west of Ireland by the while escorting Convoy HG-47, and managed to return to Barrow-in-Furness, escorted by , largely under her own power, but with 21 dead and without most of her bow; she was under repair in Greenock until 22 May 1941.
