In 1922 Lilly became a member of the Indiana Historical Society, serving as its president from 1933 to 1946, as executive committee member from 1947 to 1969, and as a member of the board of trustees from 1969 until his death in 1977. Lilly's involvement began with his personal interest in archaeology and friendship with Glenn Black and Christopher Coleman, secretary of the Indiana Historical Society and director of the Indiana Historical Commission. Lilly had a personal as well as financial interest in the affairs of the organization, which included contributions to an endowment in excess of $2.5 million for an addition to the Indiana State Library and Historical Building in Indianapolis that would also house the Indiana Historical Society. Lilly attended dedication ceremonies for the building's four-story expansion in October 1976, a year before his death. Lilly and his brother also subsidized numerous projects and publications, including those related to archaeology, Indiana authors, Walam Olum, the paintings of George Winter, the diaries of Calvin Fletcher, and a Pulitzer Prize–winning history of the Old Northwest, among others. Upon his death, Lilly left the Indiana Historical Society a substantial endowment, making it one of the wealthiest organizations of its kind in the United States.