Bailey has worked extensively in British theatre, including at the Chichester and the Hampstead Theatre, and at the Bristol Old Vic, the West Yorkshire Playhouse, London's West End, the Royal Court, the National Theatre, the Old Vic, the Arts Theatre and the Tricycle Theatre. In 1981 she performed in Mike Leigh's West End theatre play Goosepimples, for which she received a Plays and Players Award nomination as Most Promising Newcomer. In 2007, with the Shared Experience company she received a TMA nomination as Best Supporting Performance for her role in Kindertransport.