In the early 1960s, he sang with Alexis Korner's Blues Incorporated, with whom he recorded the first British blues album in 1962, "R&B from the Marquee". At stages, Mick Jagger, Jack Bruce and Charlie Watts were members of this band while Keith Richards and Brian Jones played on stage, although none played on the "R&B at the Marquee" album. When The Rolling Stones made their debut at the Marquee Club in July 1962, Baldry put together a group to support them. Later, Baldry was the announcer introducing the Stones on their US-only live album, "Got Live If You Want It!", in 1966.