Wray was born on September 15, 1907 in Alberta, Canada, the daughter of inventor Jerry Wray and his wife, Vina. The couple separated when Fay was 12 and her mother moved to Los Angeles with her five children. Fay rose from bit parts to supporting roles in several silent films of the 1920s while she was still a teenager; following her graduation from Hollywood High School, she was cast as the ingénue in a number of westerns and played the bride in Erich von Stroheim's The Wedding March.
Aside from King Kong, her sound films included The Four Feathers, Dirigible, One Sunday Afternoon, Viva Villa!, The Affairs of Cellini, Dr. X, The Mystery of the Wax Museum, The Vampire Bat, and The Most Dangerous Game. On Broadway, Wray appeared in Nikki (1931), Mr. Big and Golden Wings (both in 1941).
In 1942, she retired and married Robert Riskin, the writer of such films as It Happened One Night, Mr. Deeds Goes to Town, and Lost Horizon. Riskin died in 1955. The couple had two children, Vicki and Robert Jr.; both survive Wray, as does her daughter Susan. In 1971, Wray married Dr. Sanford Rothenberg, a neurosurgeon who had been one of Riskin's doctors. Rothenberg died in 1991.
Following her official retirement, Wray made a few movie appearances and co-starred in Gideon's Trumpet, a 1979 film with Henry Fonda. On television, she starred in The Pride of the Family, a sitcom that ran from 1953 to 1955. In later years, she wrote several plays that received regional theater productions. But she will always remembered for screaming and struggling in the paw of King Kong as the giant ape carried her through the jungle of a remote island and later through the island of Manhattan, even to the top of the Empire State Building.