The British National Antarctic Expedition, also known as the Discovery Expedition after the ship RRS Discovery (1901-04), was led by Robert Falcon Scott with the purpose of undertaking scientific research and exploration along the coast of the Ross Sea in Antarctica. It was the first time Scott had led an expedition, although he did have command experience in the Royal Navy. Shackleton was assigned the duty of outfitting Discovery for the expedition. Scott and Shackleton had different backgrounds, with Scott having trained in the Royal Navy and preferring strict discipline. As a result, the relationship between Scott and Shackleton was tense.

Discovery departed London on 31 July 1901 for Antarctica. The team spent two summers in Antarctica, and Shackleton joined Scott and Edward Wilson, assistant surgeon and vertebrate zoologist, in an attempt on the South Pole in 1902. The journey proceeded under difficult conditions as food was in short supply, and the party was forced to march up to 40 kilometres (25 mi) a day. The team reached as far south as 82° 17' S; S on 31 December 1902; however they were unable to continue because of terrain, severe conditions, and the onset of scurvy. Shackleton also suffered from heart and lung ailments. Notably, they were 857 kilometres (533 mi) from the Pole and 412 kilometres (256 mi) farther south than any human had previously travelled.

Shackleton was sent home by Scott aboard the ship Morning because of illness, even though he had nearly fully recovered. Roland Huntford (a noted critic of Scott) has posited that Scott resented Shackleton's popularity and used health as an excuse to remove him. Indeed, Shackleton had been well-liked among his men, even cheering the men by producing a Christmas pudding he had hidden in his socks, whereas Scott had reduced rations during the march and required military discipline, having the crew mop the decks despite the water freezing immediately. Diana Preston alleges that Scott had perhaps blamed Shackleton for the march's failure, as when he was confronted by the ship's doctor with evidence that Shackleton was not particularly sick he said, "If he does not go back sick he will go back in disgrace." Contradicting Preston's claim is the work of biographer Ranulph Fiennes who asserts that there is little evidence that the two were unfriendly and that Shackleton was indeed sent home because he was ill. Regardless, Shackleton and Scott continued on friendly terms in subsequent correspondence, although the Discovery experience is described as a "defining moment of Shackleton's life" and profoundly disappointing. Though they were publicly amicable, Shackleton and Scott continued to rival one another's exploits and compete for monetary resources and staff throughout their lives.