With the guidance of these artistically-knowledgeable friends, Jeffress began collecting art by the mid-1930s. At around this time, he bought de Chirico's "The Painter's Family", a Picasso, and a number of other works. Jeffress was one of the numerous Bright Young People, young bohemian artists, aristocrats, and socialites, during the 1920s and 30s. This group was famous for its dedication to modernism, the arts, and throwing extravagant parties; on 21 November 1931, Jeffress hosted the last great so-called "Monster” balls, the "Red and White Party". This was held at the west wing of Holford House in Regent's Park. This- considered a grand address- was the home of the famous dancer Maud Allan. Although 250 people were invited, four hundred attended. The party's name was reflected in the request that guests dress only in red and white costumes- these included sailor suits, nun's habits, evening dress, sashes, wigs and gloves. The rooms were extravagantly decorated in red velvet and white silk, and the food and drink consisted of red caviar, lobster, salmon, champagne, wine, and gin. Jeffress greeted his guests attired in a white angel-skin sailor suit with red trimmings, a ruby necklace, two diamond clips and a spray of white star orchids. The party continued until dawn, but represented, with the arrival of the depression, the end of the heyday of the Bright Young Things. During much of the 1930s, Jeffress's boyfriend was John Deakin, an "acid-tongued... wit", later a photographer of Soho in the 1950s who also influenced Arthur's art collecting. With the onset of war in Europe, Jeffress became a non-combatant ambulance driver. His childhood enthusiasm for motor vehicles had led him to become a skilled driver and knowledgeable about vehicle maintenance. Jeffress put his art collection into storage and closed up his house, offering its use to the military. In late 1940, he joined the British American Ambulance Corps as a driver, reporting for duty on 27 January 1941 at the BAAC office in New York. He was assigned to a unit of 24 men; at 34, he was one of the elder members of the unit, the youngest being 19. His unit was assigned to the Middle East and North African Campaigns after one month of training, shipping out on board the S.S. "Zam Zam" for Mombasa, Kenya.