After graduating, Parry became "a Fleet Street reporter" and worked on tabloid newspapers including The Sun. In the late 1990s, he served as News Editor of the Daily Express and then as News Editor of the Press Association. He then became a Press Officer with the Football Association. Parry has written three books. His first was Rooney Tunes, a biography of footballer Wayne Rooney published in 2006. He then co-wrote the autobiographies of his fellow talkSPORT presenter Alan Brazil- There's an Awful Lot of Bubbly in Brazil and Both Barrels from Brazil: My War On the Numpties.
Radio
In 1999, Parry joined Talk Radio. Parry originally co-presented the Sports Breakfast with Alan Brazil, but after the onset of health problems in 2004, he was replaced by Graham Beecroft and subsequently Ronnie Irani. Due to the improvement in his health, Parry returned to co-host The Alan Brazil Sports Breakfast show on Monday and Friday mornings, and sometimes stood in for Irani if he was unavailable. In 2009, Parry began presenting the 10:00–13:00 slot with Andy Townsend from Mondays to Fridays. From June 2010, Parry began co-hosting with Mike Graham in the same slot. They were replaced by Richard Keys and Andy Gray in February 2011. Parry stood in for regular presenter Mark Chapman on 606 on Radio 5 Live on 19 February 2011 and again on 2 April 2011 alongside Robbie Savage. Parry presented the Saturday lunchtime 'Warm-Up' show on talkSPORT from mid-2017 to August 2019. Over the course of the two years, Parry had various co-hosts, including Brazil, Graham, Danny Kelly and Jason Cundy. Parry left talkSPORT after 20 years in August 2019. He finished his final show by saying: "I think I'll end with words similar to those from the immortal John Lennon- 'thank you very much indeed for listening, folks, and I hope I passed the audition'".
In 2004, Parry suffered heart failure and was treated at Harefield Hospital. In the same year he was diagnosed with advanced dilated cardiomyopathy and placed on the transplant list. In April 2005, due to a combination of drug treatment and Parry's improvements in digestion and exercise, resulting in a loss of four stones in six months, he was removed from the transplant list.