Gray, who laid bare his life and mingled performance art with comedy in acclaimed monologues like "Swimming to Cambodia" and "It's a Slippery Slope," was identified Monday through dental records and X-rays.
The cause of his death was still under investigation, said Ellen Borakove, a spokeswoman for the medical examiner. But Gray was known to have been deeply troubled and had attempted suicide before.
His family told police he was last seen Saturday Jan. 10. Throughout his disappearance, his wife, Kathleen Russo, had held out scant hope that he might still be alive.
"Everyone that looks like him from behind, I go up and check to make sure it's not him," Russo said in a phone interview with The Associated Press about a week ago. "If someone calls and hangs up, I always do star-69. You're always thinking, 'maybe."'
Gray's riveting live performances generally featured only a desk and a glass of water as props. Usually wearing his trademark plaid flannel shirt, the performer would never move from the desk as he read in a soft, New England-flecked accent.
In more than a dozen monologues starting in 1979, Gray told audiences about his childhood, "Sex and Death to the Age 14"; his adventures as a young man, "Booze, Cars and College Girls"; and his struggles as an actor, "A Personal History of the American Theater." Many were published in book form and several were made into films.
"The man may be the ultimate WASP neurotic, analyzing his actions with an intensity that would be unpleasantly egomaniacal if it weren't so self-deprecatingly funny," Associated Press Drama Critic Michael Kuchwara wrote in 1996. "He questions everything and ends up more exhausted than satisfied."
Gray's greatest success was his Obie-winning monologue "Swimming to Cambodia," which recounted in part his movie role opposite Sam Waterston in "The Killing Fields." The monologue, developed over two years of performance, became a film directed by Jonathan Demme.
His book "Gray's Anatomy," about his struggles with a serious eye problem, was also made into a film.
Gray turned a midlife crisis into "It's a Slippery Slope," a 1997 monologue that mingled ski stories with tales of his new role as a father.
He also had an active career in Hollywood, with roles in films including David Byrne's "True Stories," "Beaches" and "The Paper" — 38 film appearances in all. In the 1993 Steven Soderbergh film "King of the Hill," he played an eccentric bachelor who kills himself.
On Broadway, he starred as the stage manager in the 1989 revival of "Our Town," a production that won a Tony Award for best revival. In 2000, he was in the less-acclaimed revival of Gore Vidal's 1960 political drama, "The Best Man."
But Gray's life in recent years was marred by tragedy and depression.
A horrific head-on car crash during a 2001 vacation in Ireland left him disheartened and in poor health, and he tried jumping from a bridge near his Long Island home in October 2002.
He was twice hospitalized for depression after the crash, and his suicide attempt canceled the run of a new solo piece, "Black Spot."
Gray, whose mother committed suicide when she was 52, spoke openly about considering the same fate. In a 1997 interview, he even provided an epitaph for his tombstone: "An American Original: Troubled, Inner-Directed and Cannot Type."
Gray was born on June 5, 1941, one of three sons of a WASP couple in Barrington, R.I. His mother suffered a pair of nervous breakdowns, committing suicide in 1967 after the second one.
Prior to her death, Gray began pursuing an acting career at Emerson College in Boston. His first efforts at one-man storytelling began with a select audience: his co-workers when he was a dishwasher. The compulsively self-obsessed Gray would regale the other employees with a blow-by-blow account of his day's events.
He landed his first stage role, playing a psychotic in a summer stock production of "The Curious Savage," when a combination of his dyslexia and nerves produced an all too real audition.
His mother's suicide sent Gray into a lengthy period of depression that ended with his own nervous breakdown. He worked in underground theater in Manhattan, eventually co-founding the Wooster Group in 1979. There, he wrote an autobiographical trilogy of plays about life in Rhode Island.
His first monologue was "Sex and Death to the Age 14," mingling events like the bombing of Hiroshima with the death of childhood pets. Gray was hailed as a new brand of performance artist, working alone on a minimalist set.
In 1983, Gray won the role of an American ambassador's aide in "The Killing Fields," the story of the bond between a New York Times reporter and a Cambodian photographer.
The resulting monologue, "Swimming to Cambodia," was widely hailed, with Washington Post reviewer David Richards observing, "Talking about himself — with candor, humor, imagination and the unfailingly bizarre image — he ends up talking about all of us."
In addition to his writing, Gray enjoyed skiing and drinking; he once told an interviewer that a 6 p.m. bloody Mary was a staple of his routine. But Gray plunged back into despondency following his car accident, a crash during a vacation to mark his 60th birthday.
Gray, who was not wearing a seat belt, suffered head trauma and a broken hip.
Gray is survived by Russo; three children; and a brother, Rockwell Gray, an English professor in St. Louis.