What is the difference between grey and gray?

The difference between "grey" and "gray" is purely a matter of spelling. They are the same word, representing the same color.

• Grey is the spelling primarily used in British English and other Commonwealth countries.
• Gray is the spelling primarily used in American English.

There's no difference in meaning or pronunciation; it's just a variation in spelling convention. Using either spelling is perfectly acceptable, as long as you're consistent within a single piece of writing and aware of the typical conventions of your target audience.