He briefly served as Parliamentary Secretary at the Ministry of Labour in 1931 during the period the Liberal Party supported the National Government led by Ramsay MacDonald.

Initial indications were that the Conservatives would stand aside for him in 1931 and Gray thought they should[7] but his hopes were soon dashed however, and he was opposed by a Unionist candidate, Alan Lennox-Boyd who also supported the National Government.

[10] He attempted to enter Parliament again at a by-election in June 1938 in West Derbyshire, but despite an energetic campaign and his personal qualities as a political speaker,[11] he came bottom of the poll in a three-cornered contest.

[13] Throughout his career, Gray took a particular interest in foreign affairs, and was strongly in favour of an effective League of Nations[14] and was prominent in highlighting the persecution of the Jews in Nazi Germany.

In November 1938, he led a deputation from the Liberal Party Organisation to 10 Downing Street to deliver a resolution calling for government action and urging more generous offers of political asylum.