In 2012, Gray first became involved with Natasha, Pierre, & the Great Comet of 1812, an electro-pop opera based on War and Peace. Gray portrayed Countess Hélène Bezukhova in the musical's performances at the Off-Broadway Ars Nova Theater. Gray continued with Great Comet when it moved to Kazino in 2013, and when it opened on Broadway in late 2016. Gray was awarded a 2017 Theatre World Award for her performance as Hélène. 　　In 2014, Gray reprised her leading role as Zoe in An Octoroon at Soho Repertory Theatre (she had previously performed as Zoe in 2010). An Octoroon utilized the plot of The Octoroon, an 1859 melodrama, but turned it into a contemporary new play that discusses America's slave history and both past and present racism. In an interview with the New York Times, Gray spoke of her difficulty with the part due to many intense racial scenes, calling it "an impossible role". However, Gray was encouraged by the impactfulness of the play, and hoped that it would "start a conversation with the audience". 　　In 2016, Gray portrayed Persephone in New York Theatre Workshop's production of the new musical Hadestown, based on Anaïs Mitchell's album of the same name. Gray was again directed by Rachel Chavkin, whom she collaborated with during Great Comet. Gray was praised by critics, who were impressed by her "vocal dexterity," "charisma," and "powerhouse voice".