In October 1995 Harry Pye returned to London from Winchester School of Art and published the first issue of "'Frank"' magazine using the photocopier at the South London Gallery.
Frank #1 featured Harry Pye's interviews with artists Gilbert & George, comedy writer Patrick Marber and songwriter Edwyn Collins. The magazine was given away free to visitors to the South London Gallery, it was also reviewed in Record Collector magazine who described it as "a cheeky scissors and paste job." Each month a new issue would appear. Pye posted Frank questions to artists, comedians and musicians he admired including; Stewart Lee, Richard Herring, Kevin Eldon, Pulp, John Peel and Mark Wallinger. Issue 12 of Frank magazine featured responses from all the stars who turned down Frank. Among those who wrote, sometimes quite long letters to Harry Pye explaining why they couldn't answer his questions included Spike Milligan, Nick Cave, Iggy Pop and David Attenborough.
For the next four years Harry Pye continued doing Frank interviews and writing Frank reviews for his publication. Frank was mentioned positively in The Times, Guardian and was I-D Magazine's "Fanzine of the month". By now guest contributors to Frank now included Dan Connor, Billy Smart and Geoff Lucas. By 1997 500 copies of the magazine were being sold in shops such as Rough Trade, Zwemmers, Forbiden Planet, the I.C.A and Tower Records. A grant from the Art Council meant that issue 17 was now printed with a colour cover and the circulation doubled. Pye began putting on related evenings at The Royal Vauxhall Tavern featuring musicians and comedians. The final issue of Frank magazine was launched at Pye's exhibition, "It May Be Rubbish But It's British Rubbish" at Glassbox in Paris, France in May, 2000. The issue was funded by Coca-Cola's Millenium project money.
Since 2000 Harry Pye has contributed to many publications including Untitled, Modern Painters, and The Face. In 2006 he began putting together a new magazine of his own called, The Rebel, (after the Galton & Simpson film featuring Tony Hancock). 500 copies of the promo issue were given away free at an exhibition called, People Like Us at the NoMoreGrey gallery in Red Church Street, East London. A further 500 were given away at the Publish And Be Damned art fair at Rochelle School, Shoreditch.