In the early period of Ray's career, he painted in the Cubist style. His first solo show at the Daniel Gallery in 1915 featured thirty paintings and a few drawings. The paintings were a mixture of semi-representational landscapes and abstract paintings of "Arrangements of Forms"; these abstract works showed his developing interest in analytical and cerebral method of working. By this time, he had more inventory of works in his studio than he could keep track of. He started photographing his paintings as documentation and experimenting with the camera as an artistic tool.
With Duchamp, Ray made multiple attempts to promote Dada in New York. They founded the Society of Independent Artists in 1916 and published a single issue of New York Dada in 1920. In the same year they founded the Societe Anonyme, Inc. with Katherine Dreier, a prominent art collector. Societe Anonyme was the first museum to devote itself to displaying and promoting modern art in America, preceding The Museum of Modern Art by nine years. However, due to the lack of public enthusiasm for Dada art in New York, and his failed marriage to his first wife, Ray was despondent. With encouragement from Duchamp, Ray moved to Paris in 1921.