The economic and political stability of the 1920s came to a sudden halt in late October 1929, with the crash of the American stock market. For Americans thriving in Paris on favorable exchange rates and growing stock dividends, it meant the end of a decade-long party. Many talented, wealthy expatriates who had come to feast on the lively artistic scene—including the writers of the “Lost Generation” such as Ernest Hemingway, F. Scott Fitzgerald, and John Dos Passos—packed their bags and returned home.

It took a while for French people, other than those with significant American investments, to feel the economic blow of the Great Depression. In Winnaretta's case, her wealth appears to have remained untouched: her Singer dividends, emanating from a Canadian trust, and capably and conservatively managed by her Paris business manager, François Dupré, continued to fill her bank accounts. Most of her investments were in real estate, and her considerable charitable activities offset her equally considerable tax liabilities. Consequently, unlike most of the people she knew, she did not suffer financial reverses in the early 1930s; on the contrary, there is every indication that she thrived during these economically uncertain years. Only months after the crash, she bought the Jouy-en-Josas country house built by Vaudoyer that she had rented for several summers from decorator Henri Gonse; after assuming ownership, she had the villa redecorated by Paris's most sought-after designer, Jean-Michel Frank. Later that year she treated a dozen of her family members and friends—including Violet Trefusis and her mother—to a two-week cruise to the Greek Islands and Dalmatia, on a ship called, appropriately enough, the Sans Peur—Fearless.

The healthy state of her portfolio allowed her to help others in less fortunate economic circumstances. Winnaretta's help generally came, however, with the same proviso that she had imposed in the case of Oedipus Rex: she would provide financial aid only if additional mécènes were found to supplement her contribution. This was her modus operandi in her latest involvement with the Salvation Army, which, in 1929, began a fundraising campaign for a new Paris shelter, one that could house as many as five hundred men and women.