 After initially performing a number of small roles at the Vaudeville Theatre, Grey moved to the Gaiety Theatre.The Gaiety presented musical burlesques that employed dancers, and so Grey studied dance with John D'Auban, among others, before debuting as a dancer in 1884.In 1885, she danced the role of Polly Flamborough in "The Vicar of Wide-awake-field" at the Gaiety and soon rose to become the principal dancer there.