Cray was Father Cornello's devoted follower and trusted enforcer. When Edward and Alphonse showed up in Lior, Cornello tipped him off that Ed was a State Alchemist—and likely there to spy on them. He ordered Cray to kill the brothers in the name of their faith. The plan fell apart when Cray's shot at Alphonse's head just clanged off his armor instead, revealing there was nothing inside.
Things got worse during the siege of Lior. Cray went looking for Cornello, but ran into Gluttony instead. The Homunculus made short work of him. His skeleton can be glimpsed in Gluttony's stomach later on.
Content compiled by AnimeList.moe from publicly available sources.