Having read Sherlock Holmes as a young girl, McCloy retained an interest in mysteries and began to write them in the 1930s. Her first novel, "Dance of Death", was published in 1938. It was followed by several other mystery publications in the 1940s. "Cue for Murder" (1942) was a story of murder onstage during a Broadway revival of Sardou's Fédora. In "Goblin Market" (1943), reporters for two rival wire services investigate the death of one of their predecessors in a fictional South American country in the shadow of World War Two. "The One That Got Away" (1945) explored the psychology of Fascism, postulating that it is rooted in woman hatred, and rejection of a mother's tender care of children. A non-Willing mystery, "Panic" (1944), was set in a remote cottage in the Catskills and was notable for its use of cryptoanalysis.