Milner became private secretary to Viscount Goshen, the Chancellor of the Exchequer. On Goschen's recommendation, Milner became under-secretary of finance in Egypt. While there he wrote the book England in Egypt (1892).
Milner went on to hold a series of important positions including Chairman of the Inland Revenue (1897-1901) and Governor of the Transvaal (1901-05). In 1902 he became a viscount for his services during the Boer War.
Alfred Milner died in 1925.