In the 1990s, Gry Bay appeared in stage musicals such as West Side Story, Grease, Guys and Dolls, Crazy for You and Me And My Girl, and at Copenhagen's Nørrebros Teater she played the part of Brooke Ashton in Michael Frayn's comedy Noises Off.
Back in Denmark, she got her first feature film starring roles in the hip hop comedy Slim Slam Slum a.k.a. Joystick Nation (2002), for which she also composed several of the songs, and in David Noel Bourke's sexy, psychological thriller Last Exit (2003).
At the 2005 Venice Film Festival, Gry Bay once more appeared nude in Pipilotti Rist's video installation Homo sapiens sapiens. She has since appeared in the feature films Betonhjerter (2005) and Grønne hjerter (2006).
