In 1928 she moved to Hollywood, where she appeared in movies and toured with Fanchon and Marco vaudeville shows. In 1933 she founded her own all-female jazz band whose name changed often, from "Peggy Gilbert and Her Metro Goldwyn Orchestra" to "Peggy Gilbert and her Symphonics". She performed on saxophone, vibes, piano, and vocals. In the 1930s and 1940s Gilbert and her band performed in the most famous nightclubs in Hollywood, including the Cocoanut Grove. At one of these clubs, she met and fell in love with Kay Boley, a vaudevillian and contortionist.