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In 2009 Agbaje was commissioned by the Tricycle Theatre alongside Roy Williams and Kwame Kwei-Armah to be a part of the "Not Black and White" season.
Bailey has worked extensively in British theatre, including Chichester, Bristol Old Vic, the West Yorkshire Playhouse, London's West End, the Royal Court, the National Theatre, the Old Vic, the Arts Theatre, Hampstead, the Tricycle Theatre and the company Shared Experience with whom she received a TMA nomination as Best Supporting Performance for her role in Kindertransport (2007).
He appeared for two seasons with the Shakespeare's Globe theatre company in The Comedy of Errors, and was a member of the cast of Bloody Sunday: Scenes from the Saville Inquiry at the Tricycle Theatre, London, which won the Olivier Award for Outstanding Achievement in an Affiliate Theatre.
She founded Wild Iris theatre company in 1992, for which she directed theatre productions at the Bristol Old Vic theatre, the Tricycle Theatre, the Bush Theatre and the Battersea Arts Centre.