Officer David Gray was shot and killed attempting to stop an argument in a saloon.

On September 29, 1892, the town of Lexington had an estimated crowds of 10,000 drawn to the town by the performances of the Barnum and Bailey Circus. Special Officer David Gray was put on duty to help with the enormous crowds. At about 2:00 pm, Officer Gray was present when two men, Harvey Plattenburg and James McDowell, became involved in an altercation at Hearl's Saloon near the Pacific Depot in Lexington, reputedly as a result of a longstanding feud. During the altercation Plattenburg drew a pistol and shot McDowell through the heart. Officer Gray attempted to intercede and Plattenburg also shot and fatally wounded him in the stomach, just below and to the left of the navel. Officer Gray died at 9:20 pm.

Suspect Plattenburg was arrested by Missouri Pacific Secret Service Officer Frank Barnett of Sedalia and Frank K. Tutt of Lexington and was turned over to the sheriff. Plattenburg was found not guilty in the murder of Officer Gray on a plea of self defense in the confusion of the melee. The charge of murder for the killing of McDowell was later dismissed as well. Newspaper accounts indicated both Plattenburg and McDowell came from well connected families.

Officer Gray was survived by his wife, Emily E. Trotter Gray, and three children. Interred: Machpelah Cemetery, Lexington, Missouri.