Lu was from Pingzhou (平州) in the Xihe (西河) region of western China (present-day Lishi District of Lüliang, Shanxi).
In 119 BCE, Emperor Wu of Han dispatched Lu along with Huo Qubing on an expedition north to attack the Xiongnu.
Lu along with General Yang Pu was one of the leaders of the five armies who advanced towards Panyu (present-day Guangzhou) near the Giaochi border to conquer Nanyue and annex it into the Han empire.
After a successful assault, he divided the new territory into the twin prefectures of Zhuya (珠崖郡) and Dan'er (儋耳郡) thus also annexing Hainan island into the Han empire.
The last known military action he participated was an unsuccessful Northern campaign (under General Li Guangli) against the Xiongnu in 97 BCE.