Born in Greenwood, South Carolina, Gray Davis started his training at the Georgia Academy in Peachtree City, Georgia under his stepmother Sherri Davis. Then Davis went to study for four years under Stanisslav Issaev at the South Carolina Governor's School for the Arts and Humanities, graduating in 2004. During his training Davis danced principal roles in La Bayadère, Chopiniana, Le Corsaire, Don Quixote, La Fille Mal Gardée, Giselle, The Nutcracker, Paquita, The Sleeping Beauty, Swan Lake, La Sylphide and the pas de deux Diana and Acteon, Grand Pas Classique and the Tchaikovsky Pas de Deux.
In 2004, Davis was named Grand Prix winner at the Youth America Grand Prix finals in New York. He joined ABT's Studio Company in April 2005, the main Company, as an apprentice, in January 2007 and the corps de ballet in December 2007.
His repertory with the Company includes Wellington in Frederick Ashton's Cinderella, the Spanish Dance in The Nutcracker, the English Prince and a Fairy Cavalier in The Sleeping Beauty and roles in Baker's Dozen, Black Tuesday, Continuo, From Here On Out, Gong, The Leaves Are Fading and Thirteen Diversions, as well as roles in all of the full-length ballets. He created roles in Everything Doesn't Happen at Once and Private Light.