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, taken 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. Her first scene was an orgy with Rocco Siffredi for The Fashionistas 2 by John Stagliano. Grey quickly made a name for herself in the business after she asked Siffredi to punch her in the stomach, however she later stated that she was improvising and it was taken out of context. Less than 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.
