Ray was born as Mary Josephine Arsenault in Bloomfield, Prince County, Prince Edward Island, Canada, on 17 May 1895, to parents Robert Fabien Arsenault (1851–1903) and Lidie Ann Blanchard (1858–1910). She had six siblings: Jean Jacques (1884–1904), François (born 1886), Célina (born 1887), Agnes (born 1888), André Edmond (born 1893), and Joseph Paul (1897–1974). When she was 3 years old, the family moved to Maine, USA, where her parents searched for work. Her father died in November 1903, when she was 8 years old. At the age of 14, she moved back to Canada with her mother, who passed away within the year, in September 1910, when Ray was 15 years old. Not long after, the siblings returned to the United States, where she started working as a housekeeper and store clerk to support herself.