As the Second World War loomed, the British Admiralty commissioned Lethbridge to undertake a reconnaissance mission to Iceland to analyse German naval activity around the country, which he carried out in summer 1939. Lethbridge however treated the mission with contempt, spending much of the time visiting sites that interested him, such as locations mentioned in the Icelandic Sagas. Back in Britain, he self-published a short volume discussing his Icelandic journey, "News from Tili". As war broke out, Lethbridge organised the transfer of much of the museum's collections to Balsham Caves for safe keeping, while also becoming a warden of the Air Raid Precautions. He also led the rescue excavation of ten prehistoric tumuli that were being destroyed to enable the construction of RAF Snailwell for the Royal Air Force.