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 performed as Polly Flamborough in The Vicar of Wide-awake-field at the Gaiety and quickly became the principal dancer there. In addition to dancing, she often played comedic roles. Grey gained recognition for her performances in Gaiety burlesques such as Monte Cristo Jr., Little Jack Sheppard (1886), Miss Esmeralda (1887), and Ruy Blas and the Blasé Roué (1889 in London and then Australia).