Gray was bisexual. She mixed in the lesbian circles of the time, being associated with Romaine Brooks, Gabrielle Bloch, Loie Fuller, the singer Damia and Natalie Barney. Gray’s intermittent relationship with Damia (or Marie-Louise Damien) ended in 1938, after which they never saw each other again, although both lived into their nineties in the same city. Gray also had for some time an intermittent relationship with Jean Badovici, the Romanian architect and writer. He had written about her design work in 1924 and encouraged her interest in architecture. Their romantic involvement ended in 1932.