Old English græg (Mercian grei), from Proto-Germanic *grisja- "gray" (cf. Old Norse grar, Old Frisian gre, Middle Dutch gra, Dutch graw, Old High German grao, German grau), with no certain cognates outside Germanic. French gris, Spanish gris, Italian grigio, Medieval Latin griseus are Germanic loan-words.
The distinction between British grey and U.S. gray developed 20c. The noun is c.1200, from the adjective. Gray as figurative for "Southern troops in the U.S. Civil War" is first recorded 1863, in reference to their uniform color. Expression the gray mare is the better horse in reference to households ruled by wives is recorded from 1540s. The verb is 1610s (with an isolated instance from late 14c.). Related: Grayed; graying.