In 1898, Gray attended classes at the Slade School of Fine Art, where she studied painting. While there, she met Jessie Gavin and Kathleen Bruce. In 1900 her father died and she went on her first visit to Paris with her mother where she saw the Exposition Universelle, a world fair that celebrated the achievements of the past century. The main style of work displayed at the fair was Art Nouveau. The work of Charles Rennie Mackintosh was also on exhibit, which Gray was a fan of.

Soon after, Gray moved to Paris along with her friends Gavin and Bruce with whom she attended the Slade School. She continued her studies in Paris at the Académie Julian and the Académie Colarossi. For four or five years after the move, Gray travelled back and forth between Paris, Ireland and London, but in 1905, due to her mother’s illness, she settled back in London. She rejoined the Slade School, but found her drawing and painting courses were becoming less satisfying.