Milne joined the British Army in World War I and served as an officer in the Royal Warwickshire Regiment and later, after a debilitating illness, the Royal Corps of Signals. He was commissioned into the 4th Battalion, Royal Warwickshire Regiment on 1 February 1915 as a second lieutenant (on probation). His commission was confirmed on 20 December 1915. On 7 July 1916, he was injured in the Battle of the Somme and invalided back to England. Having recuperated, he was recruited into Military Intelligence to write propaganda articles for MI7 (b) between 1916 and 1918. He was discharged on 14 February 1919, and settled in Mallord Street, Chelsea. He relinquished his commission on 19 February 1920, retaining the rank of lieutenant.