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).
She then made headlines by landing the title role in Zentropa's sexually explicit romantic comedy All About Anna (2005), co-produced by Lars von Trier, for which she won the Scandinavian Adult Award as Best-Selling Scandinavian Star of 2006.
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.
She was lead singer in the band XPY, with the remaining members of Crispy following Mette's exit.