Gray, the Jones County seat, incorporated on August 22, 1911. First named James to honor U.S. Congressman James Henderson, the city later named to honor another James, this time James Madison Gray, a major financier of the Confederacy during the Civil War.
The Jones County courthouse, listed on the National Register of Historic Places, is in Gray. This building, built in 1905, was restored and renovated in 1991.
In Gray, there is an antique business in the town's oldest house, circa 1900, that permits visitors to see original light fixtures and corner fireplaces of that time.