Rodd's life in banking up until this point suggests a man who enjoyed working at the interface of finance and politics. At the end of the decade, an opportunity arose which gave him a further chance to work in this area, with particular reference to British relations with Italy. In summer 1939, he joined the Ministry of Economic Warfare (MEW), this while remaining a director at Morgan Grenfell. This ministry was formally established following the outbreak of war, with Ronald Cross as its first minister and Frederick Leith-Ross its first director general, and with a remit that had much in common with the Ministry of Blockade during the First World War. Its more immediate roots went back to the winter of 1929–30, when the Committee of Imperial Defence set up a small staff to study the economic preparedness of foreign countries to make war. Just over a year later, in 1931, the Industrial Intelligence Centre was set up, headed by Desmond Morton; Morton and his team shaped many of the ideas on which plans for economic warfare were developed, and they formed the nucleus of the Intelligence Department at the MEW. The culture of the Department was more ‘pugnacious’ than the Foreign Office, to which it was effectively subordinate. The foreign secretary, initially Lord Halifax, represented the MEW in the War Cabinet.

Rodd's involvement with the MEW did not come out of the blue. One family friend recorded that already in 1938 he and some former colleagues from the Foreign Office had been part of a ‘cadre’ for a government department being planned for enforcing contraband control in the event of war. Rodd was one of the earliest to join the MEW: he and four others were the first to move into its first premises. Rodd was formally offered a role at the MEW on 14 July. He was assigned to the Intelligence Department, initially as a temporary assistant. To begin with, the Ministry sought to make use of his knowledge of Scandinavia – arising out of work he had done with the Nordic countries during his time at the Bank of England. But not surprisingly, in view of his knowledge of Italy, he was immediately drawn into issues connected with that country. After the war broke out, he became the MEW's chief negotiator with Italy.