Lee's stage-mother manager, Madam Rose, put her daughters Rose (Gypsy) and June on stage at lodge benefits. Later, without June, Gypsy became the star of Madam Rose's Dancing Daughters. She made her debut in burlesque in Kansas City in 1929. Within two years she was the headliner at Billy Minsky's Republic Theatre on Broadway. In 1936 Lee appeared in the Ziegfeld Follies. When New York's burlesque houses were closed the following year, she went to Hollywood to appear in a series of motion pictures. She starred in The Streets of Paris at the New York World's Fair (1940), was featured in the musical play Star and Garter (1942), and appeared in nightclubs and on television. She published an autobiography, Gypsy (1957), which was the basis for the musical play (1959) and motion picture (1962) of that name.