Born Kathleen Eileen Moray Gray, she studied at the Slade School of Art, Lonon, in 1898, before moving to Paris in 1902. The store Gray owned in Paris from 1922 to 1930, with the ambiguous title "Jean Désert", retailed high-style Art Deco furnishing, notably lacquer, then from 1925 the pristine chrome and glass furnishings of her own design which attracted international recognition.

In Paris, Gray mixed in lesbian circles which included Romaine Brooks, Gabrielle Bloch and her lover Loïe Fuller, the singer Damia and Natalie Barney. Evelyn Wyld, who formed a relationship and established a shop with Eyre de Lanux around 1924, supervised the production of Gray's rugs, later designing her own range.