Although I can find no evidence that H.P.Lovecraft understood French, he was accomplished enough in Latin to translate texts and, judging by this letter cited in Classical Traditions in Modern Fantasy, not unfamiliar with the spoken language either:
Latin and Greek were my delight - although I had long-standing feud
with teachers of the former over pronunciation. My grandfather had
previously taught me a great deal of Latin, using the traditional
English pronunciation taught in his day, but at school I was expected
to follow the "Roman method"...
Lovecraft started learning Latin from his grandfather in 1898 when he was eight years old. By 1902 (by S. T. Joshi's estimate), he had translated "the first eighty-eight lines of Ovid’s Metamorphoses." He also had at least some knowledge of Greek as An H. P. Lovecraft Encyclopedia (p209) says
HPL’s surviving juvenile poetry consists largely of imitations or
translations of Greek and Latin epics
(note: this thread says Joshi describes Lovecraft's Greek as rubbish, but I've been unable to confirm this)
Joshi, in A Visionary and A Dreamer: H. P. Lovecraft in his Time, further states:
In 1908 Lovecraft stood at the threshold of adulthood: he was doing
reasonably well at Hope Street High School, he had become prodigiously
learned in chemistry, geography, astronomy, and meteorology, and he
was accomplished in belles-lettres as a Latinist, poet, and fiction
writer.
Franz Rottensteiner, in a review of another Joshi book, H.P. Lovecraft: The Decline of the West, casts some doubt as the extent of Lovecraft's Latin, but at the same time indicates some knowledge of Spanish:
He had almost no formal education and was almost entirely self-taught.
Even though he was able to formulate Latin sentences and correct the
Spanish grammar of his correspondents, it seems less than probable
that he was sufficiently fluent in any language other than English to
read books on difficult philosophical subjects published in that
language.