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I had never heard of the Sir Henry Flashman books. Sounds like an interesting series.

Start with the first, Flashman. That establishes the character. Be aware that Harry Flashman is intended as a comic antihero. The story begins when he is expelled from the Rugby School for drunkenness. Having no other prospects in life, he asks his father to purchase a commission. By various comic misadventures, he ends up in the middle of the First Afghan War.

Flashman is a walking bundle of every vice known to man. On the plus side, he is a big, strapping, athletic man, a superb horseman, and has a wonderful gift for languages. All of this is essential to his later career. He can fight when he's cornered and has nowhere to run, but for Sir Harry, that is always a last resort.

The author, George MacDonald Fraser, is absolutely brutal on the myriad sins of the British upper classes at the time. BUT he is equally brutal on the villainy and corruption of the native elites across the empire. As the story unwinds across many later books, the heroes also emerge: the good soldiers on both sides.

Take the books in the order of publication. From a literary standpoint, they are the best. As Flashman's history continues, Fraser becomes increasingly concerned to get Sir Harry in and out of the most notorious military disasters of the 19th century. He survives the retreat from Kabul, the Charge of the Light Brigade, the Sepoy Mutiny (where he is at Cawnpore, among other notorious episodes), and desperate encounters in the Sikh wars, Ethiopia, and the South Seas with the White Rajah. He even survives both Isandlwana and Rourke's Drift, as well as a close encounter with Ghezo and the Dahomey Amazons. It takes some heroically intricate plotting across a dozen or so books to get him into all these situations, but Fraser pulls it off. The books become a comic novelization of 19th century British imperial history.

Be aware that, while Flashman is a comic invention, the history is honest and the footnotes are true. Flashman is usually detailed to staff and is often loaned to the intelligence service. He is often undercover. All of this allows him to be a fly on the wall as he flits through the epic events of the Victorian era. Always read the footnotes. The more incredible the event, the more careful Fraser is to document it.

You are in for a treat.

I had never heard of the Sir Henry Flashman books. Sounds like an interesting series.You won't regret reading the Flashman series by George Macdonald Fraser. Flashman himself is fictional, but the surrounding history is real.
Fraser differs from other historians no more than they differ from each other.
Well worth a look.