Jimmy Lee Gray was born on September 25, 1948, in Whittier, California, to Lee R. Gray and Verna D. Gray (née Hamilton). He had an older brother named Richard. Gray attended Sierra High School in Whittier and graduated in 1966.

In 1968, at the age of 19, Gray was living in Parker, Arizona, where he was in a relationship with 16-year-old Elda Louise Prince. On January 5, 1968, Gray murdered Elda by strangling her and cutting her throat. He then concealed her body in a culvert near the Colorado River. After Elda was reported missing, Gray participated in the search efforts, which raised suspicions among law enforcement. Investigators observed that the pattern on Gray's shoes matched footprints found at the crime scene. Under questioning, Gray led deputies to the location of Elda's body.

Gray was convicted of second-degree murder and sentenced to 20 years to life in prison. However, he was paroled in 1975 after serving only seven years of his sentence. 

In January 1968, Gray murdered his 16-year-old girlfriend, Elda Louise Prince, in Parker, Arizona. He strangled her, cut her throat, and disposed of her body in a railroad culvert. Gray participated in the search for Prince, raising suspicions. Investigators matched his shoe prints to those at the crime scene, leading to his arrest. He was convicted of second-degree murder and sentenced to 20 years to life but was paroled after serving only seven years.

On June 25, 1976, in Pascagoula, Mississippi, Gray lured his three-year-old neighbor, Deressa Jean Scales, into his car under the pretense of letting her play with his cats. He took her to a wooded area, sexually assaulted her, and suffocated her by pressing her face into mud. He then discarded her body off a bridge. When Deressa failed to return home, her mother contacted the police. Gray, known to be acquainted with the child, became a suspect. During police questioning, he offered to lead officers to Deressa's body, saying, "If I take you to her, will you help me?"

Gray was arrested and charged with capital murder. His initial conviction in December 1976 was overturned on procedural grounds, but he was retried, convicted again, and sentenced to death in 1979. His appeals were unsuccessful, and the U.S. Supreme Court declined to hear his case.

Gray was executed in Mississippi's gas chamber on September 2, 1983. The execution was botched; lacking proper head restraints, Gray repeatedly banged his head against a steel pole behind the chair, moaning and gasping for air over an eight-minute period before dying. Witnesses reported the disturbing scene, leading to criticism of the gas chamber method. This execution contributed to Mississippi's decision to adopt lethal injection as the sole method of execution for sentences after July 1, 1984.