The singer also revealed that she didn't realise that non-stop partying and experimenting with drugs would take a toll on her professional and personal life.
According to Contactmusic, the 42-year-old said: "I didn't really know what was happening. I was spending the money, travelling, partying, and having a good time. I didn't stop to evaluate.
"All of a sudden people were giving me things. People used to throw drugs, pills and joints onto the stage for us.
"It was very easy to have a good time. You don't realise it's a problem because you're too busy doing it and I got into a lot of trouble."
Gray, whose new album The Sellout is released next week, recently admitted that she enjoys performing in the UK because America makes her "feel like s**t".