He studied law as well as composition, music theory, and piano at the State Conservatory, as well as having private lessons with renowned composers like Reinhold Glière and Alexander Goldenweiser.
In 1909, he co-founded the Moscow Chamber Music Theatre with Sergei Rachmaninoff, among others.
He worked as an arranger (banking) and copyist in Paris and became a close friend of Francis Poulenc.
In 1949, Gunst was about to migrate to the United States, but he died in 1950 in Paris at the age of 72.
Apparently, it was left undiscovered for many decades, as Gunst's widow had bestowed her husband's estate on the institute's director, at that time Jacques Handschin, in the 1950s.