Bailey reached the majors in 1993 with the Boston Red Sox, spending two years with them before moving to the St. Louis Cardinals (1995-1996), San Francisco Giants (1997-1998) and Kansas City Royals (2001-2002). His most productive season came in 1996 with St. Louis, when he posted career-highs with five wins and a 3.00 ERA. He had another decent season in 2001 for Kansas City, striking out 61 batters in 67+1⁄3innings, also career-numbers. In 172 games, Bailey compiled a 9–10 record with one save a 3.96 ERA.
On April 10, 2002, Bailey notched his one and only MLB save against the Red Sox. He pitched 1 1/3 innings, striking out 3 and preserving the 6-2 Royals victory.[2] On May 26, 2002, Bailey won both ends of a doubleheader against the Texas Rangers, becoming the first pitcher since David Wells in 1989 to accomplish the feat.[3]