On returning to England in 1930, Lloyd was among Rambert's students who became founding members of her Ballet Club, the performing group from which Ballet Rambert was to evolve. She danced with this group at several West End theaters and on tours outside London, as well as appearing in repertory works with the Camargo Society. From 1930 onward, she was a leading dancer in the regular Sunday performances of Rambert's Ballet Club at the Mercury Theatre in Notting Hill Gate. Other members of the club included emerging choreographers Frederick Ashton, Antony Tudor, and Andrée Howard, each of whom would respond to Lloyd's technical ability, as well as her intelligence, elegance, and sensitivity, by creating roles for her in their works. With occasional brief absences—to dance with other British companies and to visit South Africa once more, in 1932—Lloyd remained with Ballet Rambert until 1940. She followed Pearl Argyle and Alicia Markova, the company's first ballerinas, in many of their created roles but soon had new roles of her own.