Gordon Gray was born in Leith to Frank and Angela (née Oddy) Gray. He was the youngest of three children, he had a sister, Josephine, and a brother, George. After attending Holy Cross Academy in Edinburgh, his uncle John Gray, a canon, suggested that he enter religion. Gordon then studied at St. Joseph's Junior College in East Sussex from 1927 to July 1929, and entered St. John's Seminary in Wonersh in September 1929.