During the voyage, she and the destroyer HMS Vectis tested the Royal Navy's High Speed Mine Sweep, which the British Admiralty hoped to use in the shallow waters of the Baltic in the event of a war with Bolshevik Russia (soon to become the Soviet Union).

In a blow to the Admiralty's plans, both destroyers lost their minesweeping apparatus, demonstrating the High Speed Mine Sweep to be impractical in shallow water.

[2] Vega was still undergoing conversion when the United Kingdom entered World War II in September 1939, but in October 1939 she underwent her post-conversion acceptance trials and was selected for service escorting convoys in the North Sea.

[2] The following day, she joined the Polish Navy destroyer Błyskawica in a night reconnaissance of the harbor at Dunkirk, France, to determine whether Allied troops could be evacuated there; although two German aircraft attacked them and there were many wrecks in the harbor, they found it navigable, and the Royal Navy decided to send ships there to evacuate troops.

On 17 June 1940, she deployed to support Operation Aerial, the evacuation of Allied personnel from Saint-Nazaire, France, and other French ports on the Bay of Biscay.

She returned to her convoy escort duties in the North Sea for the rest of World War II, and later had a Type 271 radar installed for the detection of submarines and motor torpedo boats.