Milne went to the Royal Military Academy at Woolwich and in 1885 was gazetted to the Royal Artillery. Twelve years later he attended the Staff College, Camberley, and, that same year, accompanied Sir H. H. Kitchener up the Nile and directed artillery fire at the battle of Omdurman.
Milne was attached to Kitchener's intelligence staff during the Boer War as brevet lieutenant colonel. In 1913 he became commander of the artillery of the Fourth Division (Woolwich), and led this unit in France in August 1914 during the battles of Le Cateau, the Marne, and the Aisne. When Sir John French transferred the British Expeditionary Force to Flanders in October, Milne was promoted brigadier general; the next year promotion to major general on the General Staff of the Second Army followed.
Milne's career shifted radically when he was given command of the Twenty-seventh Division and ordered to Salonika: he was chosen for this post primarily because it was believed that he was sufficiently strong of character to resist the blandishments of the French General Maurice Sarrail, the overall Allied field commander in Greece. In January 1916, Milne was entrusted with command of the XVI Corps, and later that year with all British forces at Salonika under General Sarrail, and then those under General Franchet d'Esperey.
The story of the British at Salonika is one of frustration: Milne possessed insufficient troops, his units suffered from disease, and they labored under the difficulty of the terrain. The chief of the Imperial General Staff, Sir William Robertson, opted for a cautious stance in Greece against the Bulgars. It was not until April 24, 1917, that Milne was finally ordered to go on the attack near Lake Dorain, and he was repulsed with heavy losses. French and Serbian forces were finally able to advance against Bulgaria in 1918 and, after the collapse of the Sofia government, Milne advanced to the Turkish frontier, eventually occupying Constantinople after the fall of the Ottoman Empire.
Milne remained at the Porte until November 1920, being promoted general that same year. Two years later he was given the Eastern Command at home, and in 1926 was appointed chief of the Imperial General Staff. He was promoted field marshal in 1928 and five years later retired as Baron Milne, of Salonika and Rubislaw, county of Aberdeen. Milne spent the Second World War enrolled in the Home Guard, and died in London on March 23, 1948. He was known for his keen wit, immense energy, and penetrating intellect.
In 1905, he married Claire Maitland, daughter of Sir John Nisbet Maitland, 5th Baronet; they had a son and a daughter.