By the end of the "Busy Bee" tour, the Great Depression was in full swing, and it was much more difficult to earn a living in show business. Gilbert started promoting herself as a bandleader, using connections to appear in several movies with her all-female band. They appeared as sideliners and usually did not receive screen credit, so it's hard to know exactly how many films they appeared in at MGM. However, Gilbert began promoting the band as Peggy Gilbert and the Metro-Goldwyn-Mayer Girls. Known film appearances include "Politics" (1931), "Wet Parade" (1932), and "That's My Boy" (1932).