Born in New York City to Emanuel Lehman (1827–1907) and Pauline Sondheim (1843–1871), Emanuel was a co-founder of investment bank, Lehman Brothers. Philip became a partner in the family-owned firm in 1887 and was the firm's managing partner from 1901 to 1925. He was also the first chairman of the board of the Lehman Corporation. Lehman was notable as one of the first financiers to recognize the potential of issuing stock as a way for new companies to raise capital.
Philip married Carrie Lauer (1865–1937) on January 3, 1884. Their son Robert Lehman (1891–1969) was born in New York City. The family resided in a 5-story limestone mansion designed in 1889 by John H. Duncan on 7 West 54th Street, now known as the "Philip Lehman Mansion" and designated as a New York landmark in 1981.
Lehman began collecting major artworks in 1911, the bulk of which he willed to his son Robert. His collection today forms part of the exhibition in the Robert Lehman Wing at the Metropolitan Museum of Art.