Lampard's injury is serious enough for England manager Roy Hodgson to have put Liverpool midfielder Jordan Henderson on stand-by in case the 33-year-old is unable to recover in time.
Lampard, who had only just joined up with the England squad after an extended break following Chelsea's Champions League final victory, will be assessed by Hodgson's medical team before any decision is taken about his participation in the finals in Poland and Ukraine.
"Frank Lampard has today (Wednesday) pulled up in training with a thigh injury," a statement on the FA's website confirmed.
"He will be assessed by the medical team, and scanned tomorrow (Thursday). Jordan Henderson has been put on standby notice as cover whilst Lampard continues to be monitored."
England's first group match against France is just 12 days away and Hodgson can ill-afford any more injury problems in midfield after Manchester City's Gareth Barry was ruled out of the Euros with a tear of his lower abdomen.
Hodgson has already gambled on the fitness of Manchester United striker Danny Welbeck, who hasn't played since 30 April when he sustained an ankle injury in the derby defeat at Manchester City, and Liverpool defender Glen Johnson, who has been struggling with an infected toe.
Although Lampard wasn't certain to beat out Steven Gerrard and Scott Parker for the central midfield berths in Hodgson's starting line-up against France, it would still be a major blow as the Chelsea star has been in superb form, playing key roles in the Champions League and FA Cup triumphs, over the final weeks of the season.
Hodgson has one more friendly, against Belgium at Wembley on Saturday, before his 23-man squad fly to their Polish base next week.