The 62-year-old Gray, known for writing and starring in his autobiographical film "Swimming to Cambodia" in 1987, as well as appearing in 2001's "Kate and Leopold," 1994's "The Paper" and 1988's "Beaches," was last seen late Saturday night at his Tribeca home, the New York Post reported Tuesday.
Gray's wife, Kathy Russo, who reported his disappearance Sunday morning, said her husband had been missing since around 11 p.m. Saturday, when he returned home from watching a movie with his sons, Forrest, 11, and Theo, 6.
A diagnosed manic-depressive, Gray has attempted suicide in the past. Gray, it was reported, has been severely depressed since June 2001, when he sustained serious head injuries in an automobile accident in Ireland.
Police checked the family's other home in Southampton, N.Y., but found no note or other evidence that he had been there. In the past, Gray, known as the "WASP Woody Allen," has made at least two suicide attempts near his Hamptons home.