As a young woman, Mallory was invited by Charles Harrison Mason, founder of the COGIC in Lexington, Mississippi, to serve as a music teacher at a local religious school for black students started by a teacher who promoted COGIC teachings. Mallory knew there was a great need for black education in the state and evangelized for the fast-growing church. Early in her time there, she organized a group of five singers and toured with them to raise money for the school. During the heart of the Great Depression, they performed at the Abyssinian Baptist Church in Harlem, New York and raised $8,000 in donations.