The actor/writer had gone missing on January 10 and suicide was suspected. Gray, 62, had been suffering from depression for some time and had attempted suicide before. It is believed that he jumped from the Staten Island Ferry.
His theatrical credits include the autobiographical monologues Swimming to Cambodia and Gray's Anatomy, along with acting turns in revivals of Thornton Wilder's Our Town and Gore Vidal's The Best Man.
Gray's final work, a new solo piece titled Life Interrupted, was produced at PS 122 in fall 2003. An October 2002 workshop of the show, under the name Black Spot, was canceled when Gray checked himself into a mental hospital.