The first appearance of Jérôme Avril and Cécile Balladino together on stage in 86 at the Rex Club in Paris playing guest for Sonic Youth can be considered as the very début of Mary Goes Round, although the name was not here yet. Maurice (bass guitar) and Gilbert Correy (drums) who played a key role in the creation of the band having introduced Jérôme to Cécile were on stage with Jérôme (guitar/singer) and Cécile (keyboard), doing their first steps named Red Light.

This gig was the only event for the band at this time. They had no real projects when they were given the opportunity to have a song released on the compilation Unreleased volume I in 87. For this occasion, the Shelter was recorded and the name Mary Goes Round was chosen. This version of the Shelter is the only studio recording MGR ever did with a drummer.

Nothing really important happened then until MGR participation in the compilation Unreleased volume II one year later. MRG recorded the Nightmare, with a drum machine to replace Gilbert who was still in the band but absent.

After this second compilation, MGR decided to produce their own album without Gilbert who definitely left the band. MGR recorded a five songs demo that led the band to a distribution deal with New Rose , the famous independant French label record. Eventually, the mini-lp Sunset, was released in 89.