When German troops invaded the Grand Duchy on 10th May 1940, Prince Jean left Luxembourg together with the Grand Ducal Family. They first found refuge in France before leaving for the United States, Canada and Great Britain.
At the University of Laval in Quebec the Hereditary Grand Duke read Law and Political Science. In November 1942 He joined the British Army as a volunteer in the Irish Guards, where he occupied the rank of lieutenant in 1943 and of captain in 1944. He was promoted colonel of the Irish Guards on 21 August 1984.
On 11th June 1944 He crossed the Channel landing near Bayeux. He then served in Normandy as Liaison Officer to the 3rd Bn Irish Guards at HQ, 32nd Brigade, which was a part of the Guards Armoured Division.
During the period of the Second World War, His Royal Highness took part in the battle of Caen and the liberation of Brussels (3rd September 1944).
On 10th September 1944, He joined His Father, Prince Félix of Luxembourg, and the 1st Allied troops that liberated Luxembourg ; on 13th September 1944, He rejoined His unit and took part in the Arnem operations and the Rundstedt offensive.
He remained in Germany with His unit of the Allied Forces till 14th April 1945, then joined the Military Mission to Luxembourg where He stayed until the end of the war.
Here is the link:http://www.gouvernement.lu/dossiers/famille_grand_ducale/chregneuk/infobase/cvjean.html
PS: Although Luxembourg was neutral during WWII it was attacked by the nazis. It was more a march through France. Luxembourg situated on both frontiers to France and to Germany, thus a very interesting place on the strategic way for Hitler's army. They didn't bother about Luxembourg's neutrality.:(