DoB: Feb 1863 from the 1900 census, where he is aged 37.

Many of these Connecticut deaths don't give much info - perhaps it was due to the influenza empidemic.  Possibly this is James W.  There was one James W. who died in Conn but the date was 1887.  Neither says Hebron and besides this family was still in Queens, NY in 1887.
Connecticut Deaths and Burials, 1772-1934
Name:   James M Gray
Gender:         Male
Burial Date:
Burial Place:   Connecticut
Death Date:     1919
Death Place:
Age:
Birth Date:
Birthplace:
Occupation:
Race:
Marital Status:
Spouse's Name:
Father's Name:
Father's Birthplace:
Mother's Name:
Mother's Birthplace:
Indexing Project (Batch) Number:        B03316-8
System Origin:  Connecticut-EASy
Source Film Number:     3132
Reference Number:

DoB: August 1865, aged 34 in 1900 census.

Connecticut Deaths and Burials, 1772-1934 (image not online so not sure what else it might give):
Name:   Cora C. Gray
Gender:         Female
Burial Date:
Burial Place:
Death Date:     Sep 1913
Death Place:    Hebron, Connecticut
Age:
Birth Date:     Aug 1865
Birthplace:
Occupation:
Race:
Marital Status:
Spouse's Name:
Father's Name:
Father's Birthplace:
Mother's Name:
Mother's Birthplace:
Indexing Project (Batch) Number:        B03316-7
System Origin:  Connecticut-EASy
Source Film Number:     3132
Reference Number:       Pg 79

US Social Sercurity Index:
Armenia J. Gray
Age:    18 y
Date:    07 Mar 1902
Certificate:    503
NYC

Exact date from ???? who had her married to Fred Rathburn

Name: Francis William Gray
Gender: Male
Baptism/Christening Date:
Baptism/Christening Place:
Birth Date: 12 Nov 1894
Birthplace: Jamaica, Queens, New York
Death Date:
Name Note:
Race:
Father's Name: James Gray
Father's Birthplace:
Father's Age:
Mother's Name: Cora Gray
Mother's Birthplace:
Mother's Age:
Indexing Project (Batch) Number: I02458-5
System Origin: New York-EASy
Source Film Number: 1376364 from Beta Site
Reference Number: item 2 rn 3084

Mary E. Gray: 10 May 1896    21505    Births Reported in May, 1896. New York City Births

DoB from US Social Security Index:
Harold Gray
SSN:    045-07-9630
Last Residence:    06248  Hebron, Tolland, Connecticut,
United States of America
Born:    18 Feb 1899
Died:    Jan 1977
State (Year) SSN issued:    Connecticut (Before 1951 )

But also:
World War I Draft Registration Cards, 1917-1918
Name:    Harold Lloyd Gray
City:    Not Stated
County:    Tolland
State:    Connecticut
Birthplace:    New York;United States of America
Birth Date:    18 Feb 1896
Race:    Caucasian (White)
Roll:    1570619
DraftBoard:    23
Age:

This is not correct as he was aged 1, born Feb 1899, in the 1900 census. Did he add a couple of years onto his age to get into the war?  Did he serve abroad?

DoD from US Social Security Index:
Harold Gray
SSN:    045-07-9630
Last Residence:    06248  Hebron, Tolland, Connecticut,
United States of America
Born:    18 Feb 1899
Died:    Jan 1977
State (Year) SSN issued:    Connecticut (Before 1951 )