He worked as a missionary in Southern Florida from 1904 to 1914 when he became vicar of St. Augustine's Episcopal Church in Rhinelander, Wisconsin.

He stayed there until 1922 when he left to become rector of St. Paul's Episcopal Church in Peoria, Illinois.

In 1925 he was elected bishop coadjutor of the Episcopal Diocese of Northern Indiana, but John Hazen White died before he could be consecrated so Gray was immediately consecrated to the episcopate immediately as the diocesan bishop.

[1] Gray married Virginia Neil Morgan (born September 18, 1886) on November 1, 1905.

They had five children, one son, Francis Campbell Gray, became an Episcopal priest and the sixth Bishop of Northern Indiana.