Gray was born in Chicago, Illinois to English parents. He was educated at Lake Forest Academy and then Cornell University. He lived Ohio, then New York, and visited St. Moritz, where he was recruited to the US bobsled team. For many years, it was believed that Gray was the same person as Clifford Grey, an English songwriter, librettist and actor. One thing that added to the confusion was that, after this bobsledding career, Gray did some song writing and movie acting in the US and worked in musical comedy, vaudeville and summer stock in Chicago. He later moved to Paris and wrote jazz tunes for the revue at the Moulin Rouge.
^Gray's profile at www.sports-reference.com says that he died on November 9, 1969, but Andy Bull, who wrote Speed Kings, a 2015 book about Gray and the 1932 bobsledding team, cites an obituary for him in April 1968.