Alex Gray was brought up in the Craigbank area of Glasgow. Her father was a telecommunications engineer and her mother, originally from Tobermory on the Isle of Mull, was a telephone exchange operator. She studied English and Philosophy at Strathclyde University and worked for a period in the Department of Health & Social Security, before training as an English teacher. In 1976 she lived in Rhodesia for three months, during which time she got married, and she and her husband returned to Scotland. She continued teaching until the 1990s, when she gave the profession up and began to write full-time. Alex is a member of the Femmes Fatales crime writing trio, together with Alanna Knight and Lin Anderson.

Alex Gray has a son, a daughter and a granddaughter, and currently lives in Bishopton, Renfrewshire.