I'm guessing around the time of the development of professional armies and the use of firearms, since nobles probably weren't expected to go to war anymore.
Is there a particular country you're asking about? (Because, as an example, men from British royalty certainly have military training)
Most of the schools that the British nobility attend tend to have some form of Cadet Force which, certainly until fairly recently would have been compulsory, so they would, most of them, received some form of military training, if often reluctantly.