While at Cambridge University, Montgomery was a member of Footlights, an amateur theatrical club. Subsequently, she studied at the Central School of Speech and Drama. She built her career as one-third of Comedy Theatre Company Population 3, with James Bachman and Barunka O'Shaughnessy, and she appeared as a roving reporter for the comic television programme The Friday Night Project (2005). Her other television work includes Bo'Selecta!, The Mighty Boosh (2003), and The IT Crowd (2006).

Montgomery has been heard in several BBC Radio 4 programmes, including the radio phone-in spoof Down the Line, Robin and Wendy's Wet Weekends, The Way We Live Right Now, The Museum of Everything, The Department, Another Case of Milton Jones, The Party Line, Harry Hill's Ghost of a Christmas Present, The Pits, the Torchwood story "Lost Souls" and Lucy Montgomery's Variety Pack (2010). In 2005, she began writing for and performing in the comedy-sketch show Tittybangbang (2005) on BBC Three; it also stars Debbie Chazen and has had three series, from 2005 to late 2007. She was in [link-tt1130073] on BBC One, and Bellamy's People (2010) on BBC Two. She has also been on The Law of the Playground (2006) and The Wall (2008) on BBC Three, and produced a pilot for her own BBC sketch show, The Full Montgomery, which was not commissioned. She provided the voice of Destiny in Mongrels (2010). She voiced for the series Badly Dubbed Porn (2005) on Comedy Central. She also stars as Suzi in the Jennifer Saunders penned musical Viva Forever!, based on the music of the Spice Girls.