 In addition to dancing, she often played comedy roles.Grey became known for her performances in Gaiety burlesques such as "Monte Cristo Jr." and "Little Jack Sheppard" (1886), "Miss Esmeralda" (1887) and "Ruy Blas and the Blasé Roué" (1889 in London and then Australia).In 1891, she played one of the stepsisters in the Gaiety's "Cinder Ellen up-too-Late" after which the company, including Grey, toured the piece in Australia.