Marshall Allen is best known for his mastery of explosive, jarring, chaotic sound effects on the alto saxophone. Some have referred to this as a "pyrotechnic" playing style.[5] He has said that he "wanted to play on a broader sound basis rather than on chords" (1971 interview with Tam Fiofori)[6]). The opportunity came through his long association with Sun Ra, with whom he performed almost exclusively from 1958 to Ra's death in 1993, although he did record outside The Sun Ra Arkestra, with Paul Bley's group in 1964 and Olatunji's group during the mid-1960s.[1] Critic Scott Yanow has described Allen's playing as "Johnny Hodges from another dimension".

Since Sun Ra died, Allen has led the Arkestra, and has recorded two albums as their bandleader. In May 2004, Allen celebrated his 80th birthday on stage with the Arkestra, as part of their performance at the Ninth Vision Festival in New York City. Allen gave other performances on his birthday in 2008 at Sullivan Hall and at Iridium Jazz Club in 2018, both in New York City.

Allen often appeared in New York-area collaborations with bassist Henry Grimes, and has also participated in the "Innerzone Orchestra" together with Francisco Mora Catlett, Carl Craig and others in an appreciation of Sun Ra's music.