Bailey underwent right thumb surgery on April 4, the day before the season started.
"It's obviously a big step," Bailey said. "I was down in Florida and threw some flat-grounds and stuff like that and it was going well and progressing the way we want to, so yesterday was working on mechanics and getting the arm ready."
Bailey will throw another bullpen session before Friday's game against the Braves.
He will head back to Fort Myers, Fla., once the Red Sox leave for the West Coast trip in the middle of next week.
Projected to be Boston's closer after the December trade from the Athletics, Bailey has instead watched Alfredo Aceves assume that role.
"He's done great," Bailey said. "Nothing wrong with what he's doing. He's shutting the door down. It's fun to watch that. It's a hard situation to jump into with me going down at the end of Spring Training, and him fighting for that starting job and then having to go into the closer's mentality right away. He's done a fantastic job. You can't ask for anything better from him."