Gray's wife and brother fear the severely depressed 62-year-old may have jumped off the Staten Island Ferry, family friend and spokeswoman Sara Vass told CNN. Gray has attemped suicide before, she added.
The author and star of the autobiographical film "Swimming to Cambodia" was last seen at his New York apartment Saturday and was reported missing by his wife, Kathie Russo, Sunday.
Vass said Gray has suffered severe depression since a 2001 car crash in Ireland left him seriously injured.
Gray received treatment at psychiatric hospitals, and his wife and therapist thought he had been making progress recently and was through the worst of his depression, Vass said.
New York police said they are continuing to search for Gray.