In October 1939, Jellicoe was a cadet in the first wartime intake at the Royal Military College, Sandhurst.He was commissioned into the Coldstream Guards on 23 March 1940, before joining No. 8 (Guards) Commando, with whom on 31 January 1941 he sailed to the Middle East with Colonel Robert Laycock's Layforce (whose commando officers included Randolph Churchill, David Stirling, and many distinguished others). He served with L Detachment -from April 1942- which was the nucleus of the Special Air Service. He was mentioned in despatches thrice, and wounded -bullet in shoulder-once whilst with the 3rd Battalion, Coldstream Guards, in 22 (Guards) Brigade in the Western Desert in January 1941. He won the DSO, and Croix de Guerre,in November 1942 for operating on a raid that claimed to have blown up more than 20 German aircraft (Ju 88s) on Heraklion airfield, Crete, that June:

His cool and resolute leadership, skill and courage throughout this very hazardous operation were mainly responsible for the high measure of success achieved. He ... placed charges on the enemy aircraft and brought off the survivors after the four Free French members of the party had been betrayed and killed or captured.

In March 1943, he was named Commander of the Special Boat Regiment, and he was promoted to the rank of lieutenant-colonel. In September 1943, Jellicoe was sent to the Italian-held island of Rhodes to negotiate with the Italian Admiral Inigo Campioni for the surrender of his forces to the Allies. However, negotiations were pre-empted by a surprise German attack on the island on 9 September. He was able to escape from Rhodes during the resulting chaos while the Italian garrison was captured by the German invasion force. This was part of the Dodecanese Campaign. He was eventually promoted to brigadier.

For the remainder of the war, his SBS command conducted secretive and dangerous operations along the coasts of Italy and Yugoslavia. In 1944, he won the MC for one of these actions. At the end of the war, Jellicoe was among the first Allied soldiers to enter German-occupied Athens, beating the communist-controlled guerrillas ELAS, to create a pro-Allied presence in the capital.

Years later, when First Lord of the Admiralty, Jellicoe told at least one reporter, "The only serious military distinction I ever achieved was having a new type of assault boat named after me. It was called I am ashamed to say, the Jellicoe Inflatable Intruder Mark One."