During the War of the Third Coalition Milhaud served under Joachim Murat in the 1805 campaign leading up to the great Battle of Austerlitz in which he took part. On the outbreak of the War of the Fourth Coalition in 1806, Milhaud distinguished himself at the Battle of Jena against the Prussian army. On 28 October 1806, he forced 6,000 Prussian troops of the corps of Prince Hohenlohe to capitulate. At the end of 1806 he was promoted to general of division and in 1807 he distinguished himself at the Battle of Eylau against the Russians.