Ambassador Cain was nominated by President Bush as U.S. Ambassador to the Kingdom of Denmark on June 30, 2005. As Ambassador, Cain oversaw the 13 agencies of the American government that comprised the 150-person U.S. Embassy in Copenhagen. His energies focused on areas of national security, counter-terrorism, energy security, commerce and investment, and promotion of shared values. Ambassador Cain was a strong believer in public diplomacy, getting out of the Embassy and "Selling America." His unique engagement with the Danish public was highlighted by a 37-day, 1,500 mile "Rediscovery Tour" of Denmark by bicycle, and the publication in December 2008 of his best-selling book The American: On Diplomacy, Democracy and Denmark. On January 16, 2009, for his contributions to American and Danish relations, Ambassador Cain was awarded the Grand Cross of the Order of the Dannebrog by Her Majesty Queen Margrethe II.

Ambassador Cain took a leave of absence from the firm from January 2000 to November 2002 to serve as the President and Chief Operating Officer of the National Hockey League Carolina Hurricanes and their parent company, Gale Force Holdings. He stepped down after the Team went to the Stanley Cup Finals in 2002.

Ambassador Cain has served in leadership positions for numerous civic and non-profit institutions including the Raleigh Chamber of Commerce, Character Education Foundation, American Red Cross, American Diabetes Association and Boy Scouts of America. He has chaired the Boards of the Food Bank of North Carolina, Communities in Schools of Wake County and the Eastern North Carolina Chamber of Commerce. Ambassador Cain was named "Business Leader of the Year" by Business Leader magazine, received the John Ross Leadership Award from the Greater Raleigh Convention and Visitors Bureau, and received the National Outstanding Community Service Award from the American Diabetes Association in 2003. Ambassador Cain also served as Republican National Committeeman for North Carolina from 2003 to 2005, and served as Regional Chairman and the State Finance Vice Chairman for the Bush-Cheney 2004 Campaign. He served as President Bush's Emissary to the Philippines for the Inauguration of President Gloria Macapagal-Arroyo in 2004.