In 1937, she began working regularly with bandleader Jack Payne, appearing together at the 1938 Royal Variety Performance. Though both were married, they established a close personal as well as professional relationship.[.
In the later 1920s and early 1930s, she featured regularly on BBC radio, and in cabaret with William Walker and Patrick Waddington, as That Certain Trio (and with Waddington as That Certain Pair after Walker left the act).
Once asked why she gave up classical music and moved into other areas, she said: "More money was to be had (and less hard work) playing and singing popular music".
After Payne's death, Cochrane published an autobiography, We Said it with Music - the Story of Peggy Cochrane and Jack Payne, in 1979.