Price first toured as a dancer before working in bands in the Southwest and Midwest during the 1920s and '30s. He moved to New York City in 1937, where he became a staff musician and a musical director for Decca Records. There he supervised recording sessions and frequently accompanied such singers as Trixie Smith, Sister Rosetta Tharpe, and Ella Fitzgerald (Fitzgerald, Ella). He later formed his own band, the Texas Blusicians, which for a time included the saxophonists Ike Quebec and Lester Young (Young, Lester). During the 1940s and '50s, Price made recordings both as a soloist and with other musicians, including saxophonist Sidney Bechet (Bechet, Sidney), clarinetist Mezz Mezzrow, and trumpeter Doc Cheatham. Price toured in Europe, operated nightclubs in Dallas, Texas, organized jazz festivals in Philadelphia, was involved in politics in New York City, and was an artist in residence at Harvard University (1985). His autobiography is entitled What Do They Want? (1989).