Antony Gray was born and educated in Victoria, Australia. He graduated from the Victorian College of Arts where he studied with Roy Shepherd and Stephen McIntyre, winning several awards and prizes, including the Allans Keyboard Award two years running. In 1982 he received a scholarship from the Astra foundation to continue his studies in London with Joyce Rathbone and Geoffrey Parsons. From his time at College he has been a champion of many living composers, and his work with Australian composers Malcolm Williamson and John Carmichael has been particularly productive.

He is one of ABC Classics' most prolific recording artists, having recorded fourteen discs of solo piano music for the label, as well as featuring on a recital disc for KNS Classical and a number of other recording projects. His recording of the complete piano music of Malcolm Williamson has been included in a recent survey of 1001 recordings to hear before you die. He has recently started a major project to record the complete solo paino music of Saint-Saens, including a large body of unpublished and previously unrecorded material.