O'Grady used his act to speak out on issues affecting the gay community, especially during the HIV/AIDS crisis. In April 1988 he took part in a march against Section 28, a policy introduced by Margaret Thatcher's Conservative government that many denounced as homophobic. Regularly doing charity fundraisers for HIV/AIDS research, many of his friends died from AIDS-related complications; he later related that "People my age will never get over the horrors." He performed in a play about the disease at the King's Head Theatre in Islington, befriending co-star Amanda Mealing.
