For the 2006 season, he signed with AFS Racing part way through the year to race the remainder of the whole season in the Indy Pro Series—as a last attempt at providing finance for Lloyd's career, his parents sold their house in Port Soderick in the Isle of Man and Lloyd did not disappoint. He qualified second for his first race with the team at St. Petersburg and finished his second race that weekend in third place. In July, he won the road course race at Indianapolis Motor Speedway the day before the United States Grand Prix. This was the first race AFS Racing had ever won and he cemented a friendship with owner Gary Peterson which persists to this day. Later in the season he won the Valley of the Moon 100 for AFS Racing, held at Infineon Raceway, and went on to finish seventh in the final standings.