She then moved to Los Angeles and started her career in 2006 just after turning 18. Her first scene was an orgy with Rocco Siffredi and others for the movie The Fashionistas 2 by John Stagliano. During this scene, she shocked her fellow performers by requesting that Siffreldi punch her in the stomach. She claims to be bisexual and a fan of porn star Belladonna, with whom she shot scenes in Fetish Fanatic #4 and the unreleased Awakening of Sasha Grey. One of her skills that has her in high demand is her ability to deep-throat rather large penises. Shortly after turning 18, Grey contacted casting agent Mark Spiegler through the internet. He agreed to represent her, and her official booking site states that she is available for various sexual acts that include: solo, girl on girl, boy on girl, anal, double penetration, group, and interracial sex.

In an interview with Porn Valley News, Grey asserts that during sex she enjoys "a lot of dirty talk... the more psychological the better." Sasha also reveals that she enjoys extreme sex in her personal life, including anal, watersports, the use of strap-ons, and, when she's feeling romantic, vomiting on her partner. In her films, she has come to specialize in anal sex and humiliating submissive/slave roles (e.g. in Fuck Slaves) like her role model Belladonna.

Grey was featured in the November 2006 edition of Los Angeles magazine, which expressed concern about her choices but also flagged her as a potential major star, perhaps the next Jenna Jameson. In 2007 she won 2 AVN awards best three way for Fuck Slaves and best group scene for Fashionistas Safado: The Challenge. She was also nominated for the honor of Best New Starlet, but lost to fellow newcomer Naomi Russell. In addition in May of 2007 she was the recipient of the best new Starlet awarded to her by the X Rated Critics Organization.

In December 2006, Sasha was interviewed on the syndicated entertainment industry news show 'The Insider'. Grey also appeared on The Tyra Banks Show in February 2007, where during the interview she revealed that aside from anything involving children or animals, she was pretty much up for anything, including being spat on or punched. She had anticipated that her appearance on the show would be misrepresented; before the show aired, on her Myspace blog, she instructed her fans to "sit back and enjoy the art of montage."

She is half of the experimental music/art project known as Telecine. Grey also aspires to produce independent films. Since the inception of her career in the porn industry, she has begun the filming of a documentary that she hopes will illustrate her experience from the age of 18 to 21.