Gray is of partly Jewish ancestry. She presented a documentary in 1996 for Channel 4 tracing her Jewish roots on her mother's side, entitled 'The Wondering Jew', where she discovered her maternal line descended from Moldova.
She is married to television producer Hamish Barbour and they have three children. In 1997 their daughter nearly drowned in a garden pond, which left her permanently brain damaged.
A graduate of the Glasgow School of Art, she worked as a professional illustrator and then as assistant head of design in the National Museum of Antiquities in Edinburgh.
After playing in punk band, The Family Von Trapp, she became an interviewer on the early Channel 4 alternative pop show The Tube from 1982 and presented The Media Show (1987—89) for the same channel. She was briefly a DJ for Edinburgh's Radio Forth in 1983 and 1984. She was a regular stand-in presenter on BBC Radio 1 during most of the eighties, most notably being John Peel's replacement. She also presented regularly on BBC Radio 4, for Start the Week in Russell Harty's absence and also during Jeremy Paxman's leave.
In 1996, Gray appeared on French and Saunders, with Dawn French and Jennifer Saunders, as an outspoken activist of Scottish history, she ends up scaring off the English invaders at the Battle of Gleneagles, with her behaviour, in a parody of Mel Gibson's 1995 film, Braveheart.
Later she presented The Munro Show (which documented her climbing Scotland's highest hills, the Munros). She accompanied this with the book The First Fifty – Munro Bagging Without A Beard. She also presented various other TV shows like Ride On, a motoring magazine show for Channel 4, The Design Awards, for BBC, and The Booker Prize awards for Channel 4. A landmark production was Art Is Dead – Long Live TV. This programme sparked a huge controversy when it was discovered that the series, covering the work of five artists, was a complete spoof. Gray's idea was to challenge the way we view art on television, but when press art critics (most notably that of the Daily Mail) fell for the deceit before the final revelation, claiming that they were well acquainted with the "artists'" work when in fact they were completely made up, Gray was a major hate target for these papers.Gray presented the definitive documentary on The Glasgow Boys , a group of influential 19th century painters, including Sir John Lavery and James Guthrie, who challenged the orthodox values of their day. The Glasgow Boys was shown on BBC 2.
Gray has been a columnist in many publications, including Time Out magazine, the Sunday Correspondent, the Sunday Mirror, Bliss magazine, and now writes a regular column in the Sunday Herald. She won Columnist of the Year in the 2001 Scottish press awards.
She became a best selling horror novelist with the publication of her first novel The Trickster in 1995, which was followed by two more, Furnace and The Ancient. Stephen King, the famous horror author, described The Ancient as "Scary and unputdownable."
She wrote the definitive history of Glasgow's Kelvingrove Art Gallery and Museum to mark its re-opening in 2006.She appears on the BBC2 programme Grumpy Old Women
She started her own production company in 1989, originally named Gallus Besom (besom being a term of contempt for a woman and gallus bold or cheeky in Scots), then renamed to Ideal World in 1993. It merged with Kirsty Wark's company Wark Clements & Company in 2004 to form IWC Media. Gray, Wark and their partners then sold the new company in 2005 to media company RDF Media for an estimated twelve million pounds.
She is a former Rector of the University of Edinburgh, the only woman ever to have held this post, and in 2006 was made a Doctor of Letters when given an honorary degree from the University of Abertay Dundee.
In her guise as a mountaineer she appeared in the comic strip The Broons.
She was the chair of the judges for the 2007 Orange Prize for Fiction.
She is a judge of the prestigious Robert Burns Humanitarian Award.
Gray is the vice chair of the committee choosing the architect for a new building to be constructed on a site facing Charles Rennie Macintosh's famous Glasgow School of Art.
In January 2009 she became the first patron of Scotland's Additional Support Needs Mediation Forum, RESOLVE:ASL.
In 2005, she became Patron of the Scottish charity Trees for Life which is working to restore the Caledonian Forest.She is also a patron of the Craighalbert Centre, a conductive education school in Cumbernauld Glasgow. She currently serves as a trustee on the following boards: The Glasgow Science Centre, The Scottish Maritime Museum, The Lighthouse, The Children's Parliament.