Sophia was the daughter of George Gray (1798–1877), a Scottish lawyer and businessman, and Sophia Margaret Gray, née Jameson (1808–1894). In 1873 Sophie Gray married Sir James Key Caird (1837-1916), a jute manufacturer. They had a daughter Beatrix Ada (1874-1888).
She was the sister of Lady Effie Gray, who married the critic John Ruskin and then the artist Sir John Everett Millais.
The Cairds were friendly with the Leylands, Captain Moncrieff, Louise Jopling, Nita Gaetano, Whistler and Beatrice Whistler. In 1894 they invited Whistler and Beatrice to come and stay with them in Dundee (#00501). Millais painted a portrait of their daughter Beatrix.
Jopling, Louise, Twenty Years of My Life, 1867 to 1887, London, 1925 .
The Correspondence of James McNeill Whistler, 1855-1903, edited by Margaret F. MacDonald, Patricia de Montfort and Nigel Thorp, University of Glasgow, 2003.
'Sophy Gray (Pre-Raphaelite muse)', Wikipedia.