Gry Bay got her first breakthrough with a recurring part in the German RTL TV-series Dr. Monika Lindt - Kinderärztin, Geliebte, Mutter (1996), and afterwards appeared in the German TV-movie Hosenflattern (1998).
Back in Denmark, she got her first feature film starring roles in the hiphop-comedy Slim Slam Slum a.k.a. Joystick Nation (2002), for which she also composed several of the songs, and in David Noel Bourke's sexy, psychological thriller Last Exit (2003).
She then made headlines by landing the title role in Zentropa's sexually explicit romantic comedy All About Anna (2005), co-produced by Lars von Trier, for which she won the Scandinavian Adult Award as Best-Selling Scandinavian Star of 2006.
At the 2005 Venice Film Festival, Gry Bay once more appeared nude in Pipilotti Rist's video installation Homo sapiens sapiens. She has since appeared in the feature films Betonhjerter (2005) and Grønne hjerter (2006).
In the 1990s, Gry Bay appeared in stage musicals such as West Side Story, Grease, Guys and Dolls, Crazy for You and Me And My Girl, and at Copenhagen's Nørrebros Teater she played the part of Brooke Ashton in Michael Frayn's comedy Noises Off.
She was lead singer in the band XPY, with the remaining members of Crispy following Mette's death.
In October 2003 -2006, Gry Bay was voted one of the World's 100 Sexiest Women by the readers of Danish magazine M! and Danish edition of "FHM". On 20 December 2009, she gave birth to a girl.
Gry Bay holds a master's degree in drama and music from University of Copenhagen. She has also studied mediumship and healing (Reiki 3, Eric Pearl, trance).