In January 2019, Gunn was hired by All Elite Wrestling as a coach. At May 25 at the AEW Double or Nothing event he competed in the pre-show battle royal. Gunn made his first televised appearance for AEW on the November 20, 2019 episode of , competing in a battle royal. He also appeared during the January 1, 2020 episode of "Dynamite", wrestling in a dark match with his son Austin that aired on January 7, 2020. They wrestled again together on another dark match during the January 8, 2020 episode of "Dynamite", airing on January 17, 2020, with the tag team name "The Gunn Club", defeating the team of Peter Avalon and Shawn Spears. Gunn has also appeared in the crowd (made up of AEW wrestlers and other employees) on numerous episodes of "Dynamite" during the COVID-19 pandemic. On the May 27, 2020 episode of "Dynamite", Gunn now under the shortened ring name of Billy participated in a battle royal match to determine the number one contender for the TNT Championship. He also would wrestle MJF in a singles match on the June 17, 2020 episode of "Dynamite" as well. The Gunn Club would wrestle in more tag team matches on more episodes of "AEW Dark".