Kray was born in Késmárk, Upper Hungary (today: Kežmarok, Slovakia). He was educated in mathematical and other military sciences in Schemnitz and Vienna. Entering the Austrian army at the age of 19, he arrived somewhat rapidly at the grade of major, but it was many years before he had any opportunity of distinguishing himself. In 1784 he suppressed a rising in Transylvania, and in the Austro-Turkish War (1787-1791) he took an active part at Porczeny and the Vulcan Pass.