Gregory was born in Graves County and after college he taught school and served as superintendent of schools there. He then went to law school at Cumberland University in Lebanon, Tennessee and was admitted to the Kentucky bar in 1902, practicing in Mayfield, Kentucky.

Gregory was elected county surveyor and served in that office 1902-1910. He then served as judge of the Graves County Court from 1913 to 1919. Gregory was appointed United States Attorney for the Western District of Kentucky by President Woodrow Wilson in 1919 and served in that position until 1923.

Gregory was also a member of the board of trustees of the Presbyterian Theological Seminary in Louisville, Kentucky from 1920 to 1927, serving as president from 1925 to 1927, and also served as vice president of the Jefferson Davis Memorial Commission.

In 1926, incumbent congressman Alben Barkley sought and won a seat in the United States Senate. Gregory sought election to the seat Barkley was vacating, and was elected to the House of Representatives that year. He represented Kentucky's First District, the far western part of the state. Gregory continued to win re-election until his death on October 10, 1936. At the time of his death Gregory had been re-nominated for another term in the House. Upon his death Gregory's brother Noble Jones Gregory was given the Democratic nomination; he went on to win the seat and hold it for several terms.

Gregory served in the House from March 4, 1927 until his death on October 10, 1936.

He is buried in Mayfield, Kentucky in Maplewood Cemetery.