Milne began working at the Swindon Great Western Railway works but progressed to working with statistics at the company’s headquarters. In 1919 he transferred to the Ministry of Transport where he held the position of Director of Statistics until 1922. In this year he became Assistant General Manager of GWR and subsequently General Manager seven years later. In 1932 he was knighted. He transferred to the Railway Executive Committee as Deputy-Chairman during the Second World War, but refused to subsequently become Chairman because of his opposition of Nationalization. Shortly after the Second World War he reported on the state of Irish Transport to the Irish government.