My great grandfather & his daughter were both in vaudeville. I had no idea how many places they had 'played' until I did a newspaper search. At that time I had a subscription to Ancestry's historical newspapers - but there are other sources. I even found some info doing a sort of random Google search.
If you know the company, the circuit they played, the name of their gig (the play, the song, the act, etc) you may be able to find leads even if their name is not mentioned. I found a lot of ads for my grandfather, his wife, my g-aunt - even though there were very few with real details (like in a review) there was some info. I knew where they were, when, their act and sometimes a reference to previous visits.