Young Alan grew up at Henley House School, 6/7 Mortimer Road, Kilburn, London, a small independent school run by his father. One of his teachers at the school was H.G. Wells.
Milne attended Westminster School and Trinity College, Cambridge, where he studied on a mathematics scholarship. Milne's motivation to attend Cambridge was his desire to work on the humorist publication, The Granta. While at Cambridge, he edited and wrote for The Granta, a student magazine. He collaborated with his brother Kenneth on articles, which appeared under the initials, AKM. Eventually, Alan wrote solo and also fulfilled his goal of becoming editor of The Granta. During Alan's years at The Granta, readership increased significantly. His greatest pleasure and satisfaction came through honing his skill at crafting light verse. In 1903, Milne graduated from Cambridge with a degree in mathematics.