When the war broke out, Keith, a conscientious objector, enlisted in the 150^th field ambulance corps of the 50^th Division and was sent to North Africa.

He was captured in Libya, during the battle of Knightsbridge, on 10 June 1942 and joined a German medical team in treating the wounded in a field hospital in the desert. He was freed soon after and participated in the El Alamein offensive before joining the SAS as a medic and learning how to parachute. As a member of the Special Boat Service, he reached Sardinia via submarine. During the voyage, he started learning Italian.

A week after his arrival on the island, however, he was captured by the Germans and put in prison. After the fall of Mussolini, on 25 July 1943, he was transferred to a naval base north-east of La Maddalena island and then, with other 30 PoWs, he was brought to the mainland. He passed Pozzuoli and Rome and finally arrived at PG 59 Servigliano.

On the evening of 8 September 1943, the whole town rejoiced, and the PoWs in the camp, who still did not know about the Armistice, could hear shouts of joy and noises.

Both the PoWs and the Italians did not know what to do. Rumours were circulating about multiple Allied landings in Italy. The Italian camp commander, Col. Enrico Bacci, was firm in his decision not to let the prisoners go. However, a few days later, on 14 September, as the Germans were approaching the camp, the British medical officer (and camp’s commanding officer) Derek Millar decided to order the PoWs to escape. The SAS soldiers, who had been captured in Sardinia and had spent only a few weeks in the camp, led the mass evasion, breaching the camp’s wall.

Keith spent the night with another British PoW and two Americans. They had no maps or compasses and were in doubt: «what kind of reception would the Italians give us?». They found out on the following morning when, while they were resting near Barchetta, between Mount San Martino and Penna San Giovanni, they experienced the locals’ generosity:

In about twenty-four hours, all the escapees were “adopted” by the local families, who offered them food and shelter.

The four escapees remained in Monte San Martino for about two weeks; they suffered bouts of malaria but were treated. After regaining their strength, Keith and the two Americans decided to head south, hoping to cross the frontline. They marched toward Campobasso, leaving their British comrade behind as he preferred to stay.

They travelled for five weeks, sheltered and fed by the farmers they met along the way. Many times, they avoided the Germans, often in risky ways.

On 9 October, while marching through the Abruzzo region, they came near the small village of Turrivalignani (Pescara), which they reached from below, climbing through the bushes before dark. They were looking for food and shelter and knocked at an isolated house where an old man, Orazio Dalimonte, although scared by the appearance of three shabby young soldiers, let them in his home. He then disappeared in the night, apologising for not having any food. The three remained in the house, too tired to move, waiting and wondering if the man would return with the Germans to claim his reward or with food to feed them (an action for which he could risk being executed). After about half an hour, Orazio returned with the food the villagers had gathered. He also gave them his bed for the night. 

After crossing the Maiella and right before crossing the front line, south of Capracotta, the three escapees were intercepted and captured by the Germans near Agnone. They were questioned and brought to a house, where they shared a room with three other Germans. Keith managed to escape during the night, leaving his companions behind: their pact was «every man for himself!»

He hid in the woods for three days while the local farmers brought him food and clothes, and then he resumed his journey. However, he was now exhausted and suffering again from bouts of malaria. Finally, his body gave up on the bank of a river, the Biferno, where he could see the Allied troops on the other side. Soon after, a group of Germans found and captured him.

After spending some time in a transit camp in Lazio, and a brief period in Regina Coeli prison, Keith was transferred to Germany, to Stalag VII Moosburg (Bavaria), and then to Stalag VIII-B Lamsdorf (today Lambionowice) in Poland. 

In January 1945, when the Soviet advance was nearing the camp, the PoWs were forced to march to the west, while Keith was transported by train to the Swiss border and finally released. 

Keith Killby never forgot the generosity of the Italian farmers, especially Maria Livi, who climbed a hill barefoot to bring him food. After the war, he returned to visit those who had helped him (something he had promised himself to do) in 1960 and on other occasions.

He was a pacifist and a supporter of a federal Europe. In 1989 he founded the Monte San Martino Trust, from the name of the small village where he was welcomed after he escaped from PG 59 and the eponymous saint who, according to the story, gave half of his cape to a beggar. This echoed the acts of goodwill shown by the Italian peasants toward Keith and his companions, acts that he felt the need to reciprocate in one way or another.