Gray is also a published photographer, with books "Pictures I Had to Take" 2003; its follow-up, "Looking Hard at Unexpected Things" 2006. His third book, "1.3 – Images from My Phone", a book of photographs taken with his camera phone, was published in 2009. An exhibit of his work was held in April 2011 at the Museum of the City of New York, titled "Joel Grey/A New York Life."