McShann moved to Kansas City, Missouri, in 1936, and set up his own big band, which variously featured Charlie Parker (1937–42), Al Hibbler, Ben Webster, Paul Quinichette, Bernard Anderson, Gene Ramey, Jimmy Coe, Gus Johnson (1938–43), Harold "Doc" West, Earl Coleman, Walter Brown, and Jimmy Witherspoon, among others. His first recordings were all with Charlie Parker, the first as the Jay McShann Orchestra on August 9, 1940.