Parry sought a commission from Lord Burghley to spy on Catholics on the Continent of Europe, with the idea of escaping his creditors. On a first trip abroad he visited Rome, Siena, and other places. In 1577 he was back in England, though still short of money. In 1579 he left the country again abruptly; he wrote to Burghley from Paris excusing his conduct, and Burghley put Anthony Bacon in touch with him. Around this time Parry covertly joined the Roman Catholic Church.