He was the son of Sir Charles Daniel Cave of Sidmouth in Devon. 4 Walter Cave was articled to Sir A. W. Blomfield, ARA, studied at the RA, and designed a wide variety of buildings including the Aeolian Hall in New Bond Street. He married Jessica Cave (d. 1934), née Cochrane, on 21 June 1892. They had one son, Richard Cave.
Works by Walter and Jessica Cave were exhibited at the 1899 Arts & Crafts Exhibition. It is not certain, but his wife probably posed for Portrait of Mrs Walter Cave y431.
The Peerage website.