Gray, the county seat of Jones County, was incorporated August 22, 1911. The town was first named James, in honor of U.S. Congressman James Henderson who owned property. Later the name was changed to honor 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. Adjacent to the courthouse is a park with picnic tables, gazebo and water fountain.