On his own at age fifteen, the talented young man joined a circus for a brief tour, played professional baseball and sang and acted on Vaudeville stages.

A music publisher liked his voice so much he hired him to sing songs from the boxes of vaudeville theaters in San Francisco. However, after the San Francisco earthquake and fire of 1906, Harry Fox decided to give New York a try.

Appearing in various vaudeville shows in the New York area, he met and married Yansci Dolly of the famous "Dolly Sisters." When the New York Theatre (one of the largest theaters in the World) was being converted into a movie house, they decided to try vaudeville acts between the shows and selected Harry Fox and his company to put on the dancing acts.