On trips to France and England, Winsor searched for inventions in need of financing and development and, on one occasion, found gas lighting. After trying without success to buy the technology for Philippe Lebon's thermolamp, Winsor built his own gaslight and demonstrated it at London's Lyceum Theatre in 1804. Winsor's chemist did much of the initial work, which was done in competition with William Murdock and his employers, Matthew Boulton and James Watt.

Winsor realized it would be more efficient and profitable to make gas in large amounts, distribute it through underground pipes to several places, and sell the leftover solid "coke" as a low-quality fuel. Such an undertaking would require more money than any single person could provide, so Winsor mounted an advertising campaign that challenged anyone to join him in this bold venture. Although many people made fun of his approach, Winsor won the support of an influential committee in the English government, and in 1807 Winsor and his partners illuminated a garden wall for the king's birthday. They went on to stage the first gas streetlighting display in London, England. Parliament finally granted Winsor a charter for the first gas company, National Heat and Light, which was founded in 1812. Ironically, Winsor was ousted from the company's management later that year, and its name was changed to the Gas Light and Coke Company, better known today as British Gas.