At the beginning of World War I, Bailly returned to Switzerland and invented her signature tableaux-laine or "wool paintings" in which short strands of colored yarn acted as brush strokes. Between 1913 and 1922 she made approximately fifty paintings in this style. She was also briefly involved with the Dada movement.
She moved to Lausanne in 1923 and remained there for the rest of her life. She was commissioned to paint eight large murals for the foyer of the Theatre of Lausanne in 1936. This task led to exhaustion which may have contributed to the tuberculosis that caused her death in 1938. Her will directed that the proceeds from the sale of her art be used to establish a trust fund to aid young Swiss artists.