Son of Walter F. K. and Isabella R. Lyon, of Tantallon Lodge, North Berwick, Scotland, he was one of five brothers, three of whom were killed in the war and one of whom died while a student at Haileybury.
Walter went to Balliol College, Oxford and began a career as a Scottish Advocate.
He volunteered for the 9th Battalion, Royal Scots before the First World War and was sent to Belgium in February 1915, to the trenches near Glencose Wood outside Ypres.
In early May 1915 Walter Lyon and the Royal Scots were in dugouts in Potijze Wood near the Menin Road, just 200 yards from the firing line.
The shelling was so fierce that trees were torn up by the roots and the tops sliced by shrapnel.