At the start of the war, Milroy was commissioned in the Black Watch and was killed in action in Delville Wood, France, during the Battle of the Somme.

[10] Yet, there was a sentiment in the South Wales Daily Post that his inclusion, alongside four other changes, strengthened the team,[11] and the Welsh Evening Express ahead of the game described him as, "...a young player of fine ability... [and] very smart at getting the ball away to his threequarters.

"[12] With ten minutes left of the game, and Wales leading 11–0, Milroy made a run for the Welsh tryline, but was brought down before crossing the line.

"[14] Rhys Gabe, the former Welsh centre, reviewed the match for the Evening Express and said of Milroy: "[He] was exceedingly clever with his feet when he helped the forwards in the loose.

Milroy, according to the Welsh press, was outclassed by Bobby Lloyd, his opposite number, who tackled him several times after he had received the ball back from the scrum.

[17] Milroy did not play in the 1914 fixture against Wales, and the press speculated that his late withdrawal was due to the exclusion of his Watsonian teammates Angus and Pearson from the Scottish side travelling to Cardiff.

[20] He captained Scotland in the final match before the outbreak of the First World War, at Inverleith in March 1914, which England won by a tight margin.

[citation needed] The Auld Alliance Trophy, first presented in 2018 to the winner of the Six Nations match between Scotland and France, honours the French and Scottish rugby players who fell in the First World War.

[35] The trophy was carried on to the pitch at Murrayfield on 11 February 2018 by Lachlan Ross and Romain Cabanis, 11-year-old descendants of the families of Milroy and his French counterpart.

[36] Shortly after the outbreak of the First World War, Milroy joined the 9th Royal Scots from the Watsonian Military Training Corps in September 1914.

[40] On 14 July, the 8th Black Watch and the 10th Argyll and Sutherland Highlanders, as part of the 26th Brigade of the 9th (Scottish) Division, led the assault on Longueval.