Lumbly was born to Jamaican immigrants in Minneapolis, Minnesota. He graduated from South High School there and Macalester College in nearby St. Paul.
Lumbly's first career was as a journalist in Minnesota. While on assignment for a story about a workshop theatre, he was cast as an actor. He stayed with the improvisational company for two years and later moved to San Francisco where he discovered a newspaper ad seeking “two black actors for South African political plays.” He went to the audition and landed one of the parts (along with then-unknown Danny Glover). Lumbly toured with Glover in productions of Athol Fugard's Sizwe Bansi is Dead and The Island.
His first major role was Detective Marcus Petrie on the television series Cagney & Lacey (1982–1988), where his character was paired with Detective Victor Isbecki (Martin Kove). In 1985, he appeared as Theseus in The Gospel At Colonus, an African-American musical iteration of the Oedipus legend on PBS' Great Performances series.

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