 He had previously been married to a Russian noblewoman, Rimsky-Korsakov.Gray knew, among others, Lama Anagarika Govinda, Dr. Hubert Benoit, John Blofeld, Douglas Harding, Robert Linssen, Arthur Osborne, Robert Powell and Dr. D. T. Suzuki.Gray maintained his family's racehorses in England and Ireland and in 1957 his horse Zarathustra won the Ascot Gold Cup, ridden by jockey Lester Piggott in the first of his eleven wins of that race.