The Hanover Square Affair (Captain Lacey Regency Mysteries, Band 1)

Cavalry captain Gabriel Lacey returns to Regency London from the Napoleonic wars, burned out, fighting melancholia, his career ended. His interest is piqued when he learns of a missing girl, possibly kidnapped by a prominent member of Parliament.
Lacey's search for the young woman leads to murder, corruption, and dealings with a leader of the underworld. At the same time, he struggles with his disorientation transitioning from a soldier's life to the civilian world, redefining his role with his former commanding officer, and making new friends--from the top of society to the street girls of Covent Garden.
Book 1 of the Captain Lacey Regency Mysteries.