Frontman Rasmus Walter and lead guitarist Bærentzen started to write songs together, and with the addition of Stebbing and Thygesen Grand Avenue was formed.

The band signed with the record company and released their debut album Grand Avenue in 2003.

In 2005, the band moved to New York City to record their follow-up album She, working with producer Bryce Goggin.

"[2] Rainey also produced Grand Avenue's fourth album, Place to Fall, released on 28 September 2009 in Denmark.

And the song "On Your Side" was licensed for commercial use to the Danish dairy producer Arla Foods in 2008, for use in the "Closer to Nature" series, directed by Peter Thwaites.