According to her own statement, Gilda Gray was born on 24 October 1901 in Kraków (then part of Galicia-Lodomeria, Austria-Hungary, and now part of Poland) and she was an adopted child of Maksymilian (Max) and Wanda Michalski (née Kuras). However, according to her birth certificate she was born on 25 October 1895 in a village Rydlewo near Żnin (Żnin County, Kuyavian-Pomeranian Voivodeship) and Maksymilian (Max) and Wanda Michalski (née Kuras) were her biological parents. In 1903 she emigrated with her parents to the United States. She had one sister, Josephine, who was born on 1904 in Bayonne, New Jersey. At the age of only 14 or 15, Gray entered into an arranged marriage with John Gorecki, a concert violinist, who was the son of Socialist and union leader Martin Gorecki. The couple had one child, then divorced in 1923. Their son later became a bandleader, performing under the name Martin Gray (1913–1969).