Gray is an unincorporated community in Knox County, in southeastern Kentucky, United States. The community is located along U.S. Route 25E 4.9 miles East of Corbin. Gray has a post office with ZIP code 40734, which opened on January 25, 1888. There was also a radio station, WKYZ 1590 AM that began in 1984 but the license was deleted in 1998.