She returned to Gibraltar on 19 October, together with her sisters "Faulknor" and . The ship escorted the carriers and "Ark Royal" during Operations Coat and White in November. "Fury" escorted Force F to Malta during Operation Collar later in the month and participated in the inconclusive Battle of Cape Spartivento on 27 November, where she was part of the screen for the battlecruiser and the battleship . In January 1941, the ship screened Force H during Operation Excess. At the end of the month, Force H departed Gibraltar to carry out Operation Picket, an unsuccessful night torpedo attack by eight of "Ark Royal"s Fairey Swordfish on the Tirso Dam in Sardinia. The British ships returned to Gibraltar on 4 February and began preparing for Operation Grog, a naval bombardment of Genoa, that was successfully carried out five days later. The following month "Fury" underwent a brief refit at Malta. At the end of March, together with the light cruiser and three other destroyers, the ship attempted to intercept a Vichy French convoy that included the freighter , supposedly laden with of rubber, which had already been unloaded. Her sister was ordered to board and capture "Bangkok", but she was thwarted by gunfire from a coast-defence battery off the port of Nemours, Algeria. A few days later, "Fury" and four other destroyers escorted "Sheffield", "Renown", and "Ark Royal" in Operation Winch, which delivered a dozen Hurricane fighters to Malta. Beginning on 24 April, "Fury" and Force H covered "Argus" flying off more Hurricanes as well as the destroyers of the 5th Destroyer Flotilla sailing to Malta.