Early in life he pursued an interest in Egyptology which culminated in the publication of two books on ancient Egyptian history and culture in 1923.

In the later part of his life he lived with his second wife, the Georgian princess Natalie Margaret Imeretinsky, in Monaco.

[2] Gray maintained his family's racehorses in England and Ireland and in 1957 his horse Zarathustra won the Ascot Gold Cup, ridden by jockey Lester Piggott in the first of his eleven wins of that race.

[1] In 1926, Gray, with no previous practical theatrical experience, opened the Cambridge Festival Theatre as an experimental playhouse.

This led to a period of travel throughout Asia, including time spent at Ramana Maharshi's ashram in Tiruvannamalai, India.

[5] His identity as the author was not revealed at the time of publication for reasons he outlined in the Preface to the first book, Fingers Pointing Towards the Moon (Routledge and Kegan Paul, 1958).