On the 17th of February, 1839, he started once more in an American whaler, taking with him three whale-boats. The objects of this expedition are not very definite. The whaler was to land them and their boats at Shark's Bay, or on one of the islands: there they intended to form a depôt. After examining the bay, and making such incursions inland as they found possible, they were to extend their operations to the north as long as their provisions lasted, when they would return to the depôt and make their way south. The party consisted of Grey himself, four of his former companions, a young volunteer, Mr. Frederick Smith, five other men, and a native, twelve in all. They were landed on Bernier Island, and at once their troubles commenced. The whaler sailed away taking with her, by an oversight, their whole supply of tobacco; there was no water on the island, and on the first attempt to start one of the boats was smashed up and nearly half a ton of stores lost. The next day they landed at Dorre Island, and that night both their boats were driven ashore by a violent storm. Two or three days were occupied repairing damages, and then they made the mainland and obtained a supply of fresh water. They landed near the mouth of a river, which, however, was dry above tidal influence, and Grey christened it the Gascoyne. After a short examination of the surrounding country, they pulled up the coast to the north, and effecting a landing one night, both boats were swamped, to the great damage of their already spoiled provisions. Here Grey ascended a hill to look upon the surrounding country, and was so deceived by the mirage, that he believed he had discovered a great lake studded with islands; in company with three of his men he started on a weary tramp after the constantly shifting vision, needless to say without reaching it. Returning to the boats they found themselves prisoners for a time, until the wind dropped and the surf abated a little, and here they had to remain for a week sick, hungry and weary, and at one time threatened and attacked by the blacks. At last a slight cessation in the gale tempted them, and they got the boats out and made for the mouth of the Gascoyne, where they refilled their water breakers. On March 20th, they made an effort to fetch their depôt on Bernier Island in the teeth of the foul weather, and reached it to find that during their absence a hurricane had swept the island, and their hoarded stores were scattered to the winds. Their position was now nearly desperate, the southerly winds had set in, they had a surf-beaten shore to coast along, and no food of any sort worth mentioning, added to which, as may be well supposed, they were all weak and exhausted.