[4] Gray attended the American Conservatory of Music in 1921 but left during his first year to go to Peoria, Illinois, to play with George Haschert's orchestra.

[1] Their mid-1930s appearances on the long-run radio comedy-variety program, the Camel Caravan,[1] (introduced with their theme, "Smoke Rings") increased their popularity.

Gray chose not to conduct the band in the early years, playing in the saxophone section while violinist Mel Jenssen acted as conductor.

For a time, during this period, the band featured guitarist Herb Ellis, trumpeter Bobby Hackett, pianist Nick Denucci and cornetist Red Nichols.

[1] He recorded and released the original version of the jazz and big band standard "Sunrise Serenade" featuring Frankie Carle on piano in 1938.