Lamy progressed through Portuguese Formula Ford — winning the national championship in 1989 at age 17 — and Formula Opel Lotus before moving to Germany for Formula Three. He won the German Formula Three Championship in 1992 for Willi Weber's team, also claiming the Marlboro Masters at Zandvoort and finishing second at the Macau Grand Prix. In 1993, he finished second in Formula 3000, one point behind champion Olivier Panis.
Lamy joined the Lotus Formula One team in 1993 for the final four rounds of the season as a replacement for the injured Alessandro Zanardi, then signed for the full 1994 campaign. After driving the opening four races, he suffered a serious testing accident at Silverstone that broke both legs and wrists, sidelining him for over a year. Recovering fully, he joined Minardi for the second half of the 1995 season and scored a point at the Australian Grand Prix in Adelaide — the team's only point of the year — becoming the first Portuguese driver to register a World Championship point. He remained at Minardi for 1996 before ending his Formula One career with 32 starts.
Lamy moved into sports car competition, winning the GT2 class in the FIA GT Championship in 1998 driving an Oreca Chrysler Viper GTS-R. He then raced with the works Mercedes team in the 24 Hours of Le Mans and the DTM before switching to the Zakspeed outfit. With Zakspeed, Lamy won the 24 Hours Nürburgring in both 2001 and 2002, and also took the V8Star Series title in 2003.
In 2004, Lamy drove for BMW Motorsport in selected events including a third consecutive Nürburgring 24 Hours victory and won the GTS class in the Le Mans Endurance Series with Larbre Compétition in a Ferrari 550 Maranello. For 2005, he joined Aston Martin Racing as a works driver for Sebring and Le Mans, while also continuing with BMW at the Nürburgring 24 Hours for a fourth win.
In 2007, Lamy became a factory driver for Peugeot, racing the 908 HDi FAP diesel LMP1 prototype in both the Le Mans Series and the 24 Hours of Le Mans. He won the LMP1 category in the Le Mans Series in that first season with Peugeot.
In 2010, Lamy returned to the Nürburgring 24 Hours with BMW Motorsport and won for a fifth time, tying Marcel Tiemann for the most victories in the history of the race. He also contested the FIA World Endurance Championship in 2012 with Larbre Competition in GTE-Am class.
Lamy's career spanned two distinct chapters: a Formula One run that began in adversity and yielded a historic first for Portuguese motor racing, and an endurance career defined by repeated success at the Nürburgring 24 Hours. His five victories at the latter event — with Zakspeed, BMW, and in partnership with multiple manufacturers — mark him as one of the outstanding performers in that race's modern history. As of 2025, he serves as a commissioner with the FIA.