Her career commenced as a cabaret artist in restaurants and supper clubs in San Francisco, and in Reno, Nevada. In 1945 she appeared in her own radio program. While she was appearing in "Annie Get Your Gun" in London (1947–1950), she studied at the Royal Academy of Dramatic Art in 1948. As a fundraiser to help rebuild the RADA theatre, she appeared as Nell Gwyn in "In Good King Charles's Golden Days" at Drury Lane Theatre (Oct 1948). She appeared at the London Palladium in 1958 while doing a concert tour of Europe and in cabaret at The Talk of the Town in February 1963. Among her many stage roles, she appeared in "Two on the Aisle" (1951), "Carnival In Flanders" (1953); "Destry Rides Again" (1959); "Sherry!" (1967); and "42nd Street" (1986). She also performed the lead role in "Annie Get Your Gun" in its first London production (1947). Gray won the Tony Award for Best Lead Actress in a Musical for her role in "Carnival in Flanders", even though this Broadway musical, with a script by Preston Sturges, ran for only six performances. She therefore holds a record that is unlikely to be broken: briefest run in a performance which still earned a Tony. She is the first person to have sung the English version of the French song “C'est si bon” in a movie, "" directed by John Nasht.