She trained as a child at Fay Compton's School of Dramatic Art, and began acting on stage at the age of 10. Gray made her professional stage debut at the age of twelve in All God's Chillun at the Globe Theatre in London, playing an African boy. When she was 14, Gray appeared in a minstrel show at the Gate Theatre in London. She made her film debut with a bit part in The School for Scandal (1930).
