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. 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 1885, she began her career as a dancer at the Gaiety Theatre, where she quickly rose to prominence. She was known for both her dancing and comedic acting in various productions like "The Vicar of Wide-awake-field", "Monte Cristo Jr.", "Little Jack Sheppard", "Miss Esmeralda", and "Ruy Blas and the Blasé Roué".