In May 2006 Grey moved to Los Angeles and started her career in adult films just after turning 18.Originally she toyed with the name Anna Karina (after the French New Wave actress) before deciding on her present name. The name "Sasha" was taken from Sascha Konietzko of the band KMFDM, and "Grey" represents Oscar Wilde's novel The Picture of Dorian Gray and the Kinsey scale of sexuality. Her first scene was an orgy with Rocco Siffredi for The Fashionistas 2 by John Stagliano. When she was younger, prior to her video career, she dated a cook at the steak house where she worked, who introduced her to slapping and other kinds of consensual degradation during sex. Nearly six months after entering the adult industry, Grey was featured in the November 2006 edition of Los Angeles where she was flagged as a potential major star, perhaps the next Jenna Jameson.
Less than a year after entering the industry, in January 2007, Grey was the recipient of awards for "Best Three Way Sex Scene" and "Best Group Scene" at the AVN adult movie awards. She was also nominated as "Best New Starlet", but lost to Naomi. Grey was named Pet of The Month for July 2007 and was photographed by fashion photographer Terry Richardson. In 2008, she became the youngest person to win the AVN "Female Performer of the Year" award.
In December 2006, Grey was interviewed on the syndicated entertainment industry news show The Insider. In February 2007, she appeared on The Tyra Banks Show, discussing teenagers in the sex industry. Grey was profiled in the Rolling Stone "Hot Issue" for the December 2008 edition. And in April 2008 she made a highly publicized visit to Brandeis University for an interview with Los Angeles Times blogger Scott Feinberg followed by a Q&A with 300 students.
Grey represents herself in the adult industry through her own agency, L.A. Factory Girls. while The Spread Group manages her mainstream affairs. Since 2006, she has been developing an autobiographical documentary, illustrating her experiences from the age of 18 to 21. Grey has indicated particular appreciation for the work of Andrew Blake and Kimberly Kane.[