Although Gregory left the theatre in 1975, he has returned several times to direct small productions, usually for invited audiences. These included a long-running workshop of Uncle Vanya (adapted by David Mamet), which was developed from 1990 to 1994 and featured Wallace Shawn and Julianne Moore. Though never publicly performed, it was released as the film, Vanya on 42nd Street, by Gregory and Louis Malle. He appeared as himself, directing the play featured within the film. Gregory also directed a radio production of Shawn's play, The Designated Mourner, in 2002.