
Gray was born in Middlesbrough, England. At the age of 10, he began teaching himself to play the piano. He joined the Middlesbrough Junior Orchestra, at first playing the bassoon but later switching to the saxophone. The orchestra was directed by Ron Aspery, who would go on to create the fusion group Back Door.
During the 1970s he played sessions for Quincy Jones, Henry Mancini, Michel Legrand, Lalo Schifrin, Peggy Lee, Sammy Davis Jr and John Barry.
Gray joined John Williams' band Sky in 1981, replacing Francis Monkman on keyboards.