Gray had the female lead in "Cheer Up" (1936) with Stanley Lupino. She had leads in "Calling the Tune" (1936), "Cafe Colette" (1936), and "Saturday Night Revue" (1937) with Billy Milton. In 1936 she was earning £150 a week. Gray had support roles in "Lightning Conductor" (1937), a thriller; "Over She Goes" (1937) with Lupino; "Mr. Reeder in Room 13" (1937), a non musical; and "Hold My Hand" (1938) with Lupino. Gray was the female lead in "Sword of Honour" (1938), "The Saint in London" (1939) with George Sanders, "The Lambeth Walk" (1939) with Lupino Lane, and "A Window in London" (1940), a non musical film with Michael Redgrave. Gray was in "Olympic Honeymoon" (1940) then had the female lead in "The Saint's Vacation" (1941). She had a sensitive role in Brian Desmond Hurst's romantic melodrama "Dangerous Moonlight" (1941). The same year she appeared in the West End musical "Lady Behave" which had been written by her co-star Stanley Lupino. The show had to close early because of Lupino's illness.