While at the Treasury Department Gregory heard of the Baháʼí Faith and attended a lecture by Lua Getsinger, a leading Baháʼí, in 1907. In that meeting he met Pauline Hannen, raised in Wilmington North Carolina, and her husband and they invited him to many other meetings. Gregory was much affected by the behavior of the Hannens and the religion after having become disillusioned with Christianity.
