He left the Bolshoi in 1910, first dancing with Diaghilev's Ballets Russes in the 1910 Paris season. It was here that he danced a Principal role in Fokine's Les Orientales, and then toured with Lydia Lopokova (1910-11) in America. He appeared with Gertrude Hoffmann's so-called Ballets Russes at the Winter Garden Theater in New York in 1911 and with Mikhail Mordkin's All-Star Imperial Russian Ballet (1911-12). Later Volinine partnered Adeline Genée on tour to America, Australia, and New Zealand (1912-13); also partnered Lydia Kyasht at the Empire Theatre in London in 1913.
Volinine most famous partner was Anna Pavlova. He danced with Anna Pavlova's company on its various world tours from 1914 to 1925, partnering Pavlova and creating the role of the Young Poet in her Autumn Leaves (1919).