- Used to be friends with Isabelle Huppert, who introduced him to his idol, Claude Chabrol. Their relationship changed by the time Gray found himself at odds with Huppert while serving as a member of the 2009 Cannes film festival jury, which she presided. After this experience, he described the actress as a 'fascist bitch'.
- Considers The Immigrant (2013) as the best film of his career and Marion Cotillard as the best actor he ever worked with.
- He directed 4 movies that were screened in competition at the Cannes Film Festival: The Yards (2000), We Own the Night (2007), Two Lovers (2008) and The Immigrant (2013). None of these movies received a single award from the jury.
- Four of his five films were nominated for Cannes Film Festival's Palme d'Or, he was nominated for the first time with his second film, The Yards (2000). His following films, We Own the Night (2007), Two Lovers (2008) and The Immigrant (2013) were all nominated for the Palme d'Or.
- Some of his favorite films are Rocco and His Brothers (1960), The 400 Blows (1959), Singin' in the Rain (1952), Tokyo Story (1953), The Godfather (1972), The Godfather Part II (1974), The Road (1954), 2001: A Space Odyssey (1968) and Raging Bull (1980).
- Grandparents were Russian immigrants.
- He's a great fan of Claude Chabrol, intending his noir The Yards (2000) as a homage to those of the great French director. The film opened at the Cannes film festival to the audience's whistles, something that greatly angered Chabrol.
- One of 105 people invited to join AMPAS in 2008.
- Grew up in Queens, New York.
- Graduated from USC School of Cinema-Television (1991)
- For his first film - he was 25 years old - Little Odessa, he won the Silver Lion for his staging at the Venice Film Festival 1994. Vanessa Redgrave received for this film the prize for best supporting actress.
- Father was once an electronics contractor.
- Paternal grandfather changed family surname from Greiszerstein when he arrived in America.
- Until recently, he operated the handheld shots in his films himself.
- Graduated from Kew-Forest School in Forest Hills, New York.
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