Thompson has displayed a penchant for the avant garde as well, working with former Pere Ubu singer David Thomas's grouping The Pedestrians on two albums in 1981 and 1982, respectively. In the 1980s, he was associated with a loose-fitting group called The Golden Palominos, who were led by drummer Anton Fier and included at times on stage and on record Jack Bruce, Michael Stipe, Carla Bley, John Lydon, Bill Laswell and others. He has worked with experimental guitarist Henry Kaiser, most notably as part of the ad hoc grouping French Frith Kaiser Thompson with whom he recorded two albums. In 1997 he worked with long-time friend and band member Danny Thompson to record a concept album "Industry" that dealt with the decline of British industry. A year later he worked with early music expert Philip Pickett on the acclaimed "Bones of All Men" which fused renaissance tunes with contemporary music.