At the outbreak of the First World War, in August 1914, Gillain was the commander of the 4th Lancer regiment. In this function, he soon distinguished himself during the Battle of Halen on 12 August, where the Belgian cavalry was able to defeat their German counterparts in a tactical victory. On 12 October, he assumed command of the 1st cavalry brigade, with which he took part in the Battle of the Yser. During the war, he was promoted several times, first to major general in February 1915, then lieutenant general in January 1917.