At the outbreak of the First World War in July 1914, Milne was commanding the divisional artillery of 4th Division which formed part of the British Expeditionary Force (BEF) in France. He fought on the Marne and the Aisne. He joined the general staff of III Corps in January 1915 and, having been promoted to major general on 23 February 1915, was mentioned in despatches for his service during the Second Battle of Ypres.