In 2007, she began her screen career by appearing in an episode of Law & Order: Special Victims Unit, titled "Haystack", as a character named Raye.[5] She also worked as a photographer on Canada's Top Model in 2009 on the episode "Bright Lights: No Pity". In 2012, Gray first became involved with Natasha, Pierre, & the Great Comet of 1812. Gray portrayed Countess Hélène Bezukhova in the musical's performances at the Off-Off-Broadway Ars Nova Theater.[6] Gray continued with Great Comet when it moved to Kazino Meatpacking in 2013, Kazino Times Square in 2014, and when it opened on Broadway in late 2016. Gray was awarded a 2017 Theatre World Award for her performance as Hélène.[7]
In 2016, Gray portrayed Persephone in New York Theatre Workshop's production of the new musical Hadestown, based on Anaïs Mitchell's album of the same name and the tragic myth of Orpheus and Eurydice.[2] Gray was again directed by Rachel Chavkin, whom she collaborated with during Great Comet.[9] Gray was praised by critics, who were impressed by her "vocal dexterity,"[10] "charisma," and "powerhouse voice".[11] She reprised this role in the Edmonton Citadel Theatre, London National Theatre, and Broadway productions. For the Broadway production, she received a nomination for the Tony Award for Best Featured Actress in a Musical. She's reprised the role for her West End debut in February and March 2025.[12]
