Harry's competitive swimming career began in 1932 and lasted until 1943. For several years he was the Saskatchewan breaststroke record holder in the 50, 100, and 200-yard events. When he went into coaching, he soon became known as Mr. Swimming. He coached swimmers at all levels from the young splashers right up to the international scene. In addition to being a coach, Harry to many was a teacher, a father, and a trainer. He was also known as a stern disciplinarian.
All of these attributes helped his swimmers to hold several Saskatchewan and Canadian records. In 1966, he was voted Saskatoon Kinsmen of the Year. He was inducted into the Saskatchewan Sports Hall of Fame in 1973. When Saskatoon held its 100th anniversary as a city, Bailey was one of the elite 100 who was honoured as a builder.
Saskatoon also honoured Harry by naming its indoor swimming facility after him - the Harry Bailey Aquatic Centre.