He is known as Prince of Poltergeists.  When he was 15 years of age Price founded the Carlton Dramatic Society  and wrote small plays including a drama about his early experience with a poltergeist which he said took place at a haunted manor house in Shropshire.

A few years later, Price came to the attention of the Press when he claimed an early interest in space-telegraphy. He set up a receiver and transmitter between Telegraph Hill, Hatcham and St Peter's Church Brockley and captured a spark on a photographic plate, though according to the most recent biography of Price by Richard Morris, this was nothing more than Harry writing a press release saying he had done the experiment. Nothing was verified. The young Price also had an avid interest in coin collecting and wrote several articles for The Askean, the magazine for Haberdashers' School. In his autobiography, Search for Truth, written between 1941 and 1942, Price claimed he was involved with archaeological excavations in Greenwich Park, London but in earlier writings on Greenwich denied he had a hand in the excavation. From around May 1908 Price continued his interest in archaeology at Pulborough, Sussex where he had moved to before marrying Constance Mary Knight that August. As well as working for paper merchants Edward Saunders & Sons as a salesman he wrote for two local Sussex newspapers the West Sussex Gazette and the Southern Weekly News where he wrote about his remarkable propensity for discovering 'clean' antiquities. One of these, a silver ingot, was stamped around the time of the last Roman emperor Honorius, a few years after another celebrated Sussex archaeologist Charles Dawson found a brick at Pevensey Fort in Sussex which was purportedly made in Honorius' time. In 1910 Professor E.J Haverfield of Oxford University, the country's foremost expert on Roman history and a Fellow of the Royal Academy announced it a fake.

A report for the Proceedings of the Society of Antiquaries (number 23, pages 121-9) in the same year reported that:

'...the double axe type of silver ingot was well known and dated from late Imperial times but the one recovered from Sussex was an inferior copy of one found at the Tower of London, with alterations to give it an air of authenticity. Both the shape and lettering betrayed its origin.'

Price's first major success in psychical research came in 1922 when he exposed the 'spirit' photographer William Hope. During the same year, Price traveled to Germany together with Eric Dingwall and investigated Willi Schneider, traveled to Mount Brocken in Germany to conduct a 'black magic' experiment in connection with the centenary of Goethe, involving the transformation of a goat into a young man. The following year, Price made a formal offer to the University of London to equip and endow a Department of Psychical Research, and to loan the equipment of the National Laboratory and its library. The University of London Board of Studies in Psychology responded positively to this proposal and, in 1934, the University of London Council for Psychical Investigation was formed with Price as Honorary Secretary and Editor. In the meanwhile, in 1927, Price joined the Ghost Club, of which he remained a member until it (temporarily) closed in 1936.

In 1934, the National Laboratory of Psychical Research took on its most illustrious case. £50 was paid to the medium Helen Duncan so that she could be examined under scientific conditions. A sample of Helen Duncan's ectoplasm had been previously examined by the Laboratory and found to be largely made of egg white. Price found that Duncan's spirit manifestations were cheesecloth that had been swallowed and regurgitated by Duncan. Price later wrote up the case in Leaves from a Psychist’s Case Book in a chapter called "The Cheese-cloth Worshippers". During Duncan's famous trial in 1944, Price gave his results as evidence for the prosecution.

Price's psychical research continued with investigations into Karachi's Indian rope trick and the fire-walking abilities of Kuda Bux in 1935. He was also involved in the formation of the National Film Library (British Film Institute) becoming its first chairman (until 1941) and was a founding member of the Shakespeare Film Society. In 1936, Price broadcast from a supposedly haunted manor house in Meopham, Kent for the BBC and published The Confessions of a Ghost-Hunter and The Haunting of Cashen's Gap. This year also saw the transfer of Price's library on permanent loan to the University of London followed shortly by the laboratory and investigative equipment. In 1937, he conducted further televised experiments into fire-walking with Ahmed Hussain at Carshalton and Alexandra Palace, and also rented Borley Rectory for one year. The following year, Price re-established the Ghost Club, with himself as chairman, modernizing it and changing it from a spiritualist association to a group of more or less open-minded skeptics that gathered to discuss paranormal topics. He was also the first to admit women to the club.

In the same year, Price conducted experiments with Rahman Bey who was 'buried alive' in Carshalton and drafted a Bill for the regulation of psychic practitioners. In 1939, he organized a national telepathic test in the periodical John O'London's Weekly. During the 1940s, Price concentrated on writing and the works The Most Haunted House in England, Poltergeist Over England and The End of Borley Rectory were all published.

Price's archives were deposited with the University of London between 1976 and 1978 by his widow, and include his correspondence, drafts of his publications, papers relating to libel cases, reports on his investigations, press cuttings and photograp