Grey played the lead role, "Chelsea", an escort who is paid to act as her clients' girlfriend, in Academy Award-winning director Steven Soderbergh's film The Girlfriend Experience.  Soderbergh cast her after reading her profile in Los Angeles magazine, commenting that, "She's kind of a new breed, I think . . . I'd never heard anybody talk about the business the way that she talked about it. " In having Grey prepare for her role in The Girlfriend Experience, Soderbergh asked her to watch Jean-Luc Godard's Vivre sa vie and Pierrot le Fou, both starring Anna Karina. Vivre sa vie about an actress working as prostitute is a model for Chelsea, while the couple in Pierrot le Fou inspired the dynamic between Chelsea and her boyfriend. Grey and Soderbergh also interviewed two escorts, and borrowed character traits and behavior from them. Critics considered Grey as true character, perfect, boring, or amazing.  About the film The Week found "mysterious and arresting", "something undeniably compelling", and "actors who appear to be improvising (badly)" in other critics.  On Rotten Tomatoes the film got 66% based on 138 reviews.