Gray is best known for portraying Hélène Kuragina in the 2016 Broadway musical Natasha, Pierre, & the Great Comet of 1812, and for originating the role of Persephone in the Tony Award–winning musical, Hadestown, both off and on Broadway. For the latter 2019 role, she was nominated for the Tony Award for Best Featured Actress in a Musical, additionally earning (in company) the 2020 Grammy Award for Best Musical Theater Album.