He originated from Feng 豐 (modern Peixian 沛縣, Jiangsu) and was a friend of Liu Bang who was a local petty official at that time. He also followed Liu Bang to the west when Liu was made king of Han 漢 by the hegemon Xiang Yu 項羽.
When the princely counsellor (xiangguo 相國) of Zhao 趙, Chen Xi 陳豨, rebelled, Lu Wan joined and also sought for cavalry support from his steppe neighbours, the Xiongnu 匈奴. Chen Xi was defeated, and fearing the fate of execution, Lu Wan escaped to the Xiongnu. The khan of the Xiongnu made him King of the Eastern Hulu barbarians 東胡盧王. Lu Wan died a few years thereafter, living among the Xiongnu.