Hennings and Ball moved to Zurich in 1915, where they took part in the founding of the Cabaret Voltaire, which marked the beginning of the Dada movement. Hennings was a regular performer at the Cabaret Voltaire. Her performances included a role in "Das Leben des Menschen" (the Life of a Man), in which she appeared with Ball. This was the German premiere of the play by Leonid Andreev. Hennings also performed in a piece written by Ball, called "Krippenspiel". After the Cabaret Voltaire ended, Hennings and Ball toured, performing mostly in hotels. Hennings sang, did puppetry, and danced to music composed by Ball. She also recited her own poetry. In 1916 Ball and Hennings created Arabella, their own ensemble troupe, where Hennings performed under the name Dagny. Hennings married Ball on 21 February 1920. Although they had no children together, Hennings had a daughter, Annemarie, from a previous relationship. Hennings, who outlived Ball by two decades, lived in Magliaso, Switzerland from 1942 to 1948. She died on 10 August 1948 at a clinic in Sorengo, Switzerland.