He was promoted captain in The Queen's Regiment of Horse on 13 June 1685, and served with the regiment during the War of the Grand Alliance, becoming noted for courage. On 10 August 1692, he was promoted colonel of the regiment, replacing Sir John Lanier, killed at the Battle of Steenkerque, and again to brigadier-general in 1693. He fought at the Battle of Landen, and helped cover the escape of William III during the retreat there. He was present in at the Siege of Namur (1695), and was promoted major-general on 1 January 1696. Lumley returned to England after the Peace of Ryswick.
He married first Elizabeth Thimbleby, and second Anne Wiseman. His daughter by Anne, Frances Lumley, died in 1719.
On 27 February 1702 he sailed for Flanders, to take part in the War of the Spanish Succession. He was promoted lieutenant-general on 11 February 1703. In 1704, he commanded the British horse at the Battle of Schellenberg, and subsequently fought at Blenheim, Ramillies, Oudenarde and Malplaquet. On 30 January 1711, he was promoted general. Lumley resigned his colonelcy in 1717 and died in 1722, and is buried at Sawbridgeworth.