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The Inn is located at the intersection of High Holborn and Gray's Inn Road. It started as a single manor house with a hall and chapel, although an additional wing had been added by 1591, when the first point of reference (a map drawn by Ralph Agas) was created. Expansion continued over the next few decades, and by 1586 the Pension had added another two wings around the central court. Around these were several sets of chambers erected by members of the Inn under a leasehold agreement whereby ownership of the buildings would revert to the Inn at the end of the lease. As the Inn grew it became necessary (for safety purposes) to wall off the land owned by the Inn, which had previously been open to everyone. In 1591 the "back field" was walled off, but little more was done until 1608, when under the supervision of Francis Bacon, the Treasurer, more construction work was undertaken, particularly in walling off and improving the gardens and walks. In 1629 it was ordered that an architect supervise any construction and ensure that the new buildings were architecturally similar to the old ones, and the strict enforcement of this rule during the eighteenth century is given as a reason for the uniformity of the buildings at Gray's Inn.

During the late seventeenth century many buildings were demolished, either due to poor repair or to standardise and modernise the buildings at the Inn. Many more were built over the open land surrounding the Inn, although this was controversial at the time; in November 1672 the Privy Council and Charles II himself were petitioned to order that nothing should be built on the open land, and a similar request was sent to the Lord Chancellor in May 1673. From 1672 to 1674 additional buildings were constructed in the Red Lyon Fields by Nicholas Barebone, and members of the Inn attempted to sue him to prevent this. After the lawsuits failed members of the Inn were seen to fight with Barebones' workmen, "wherein several were shrewdly hurt".

In February 1679 a fire broke out on the west side of Coney Court, necessitating the rebuilding of the entire row. Another fire broke out in January 1684 in Coney Court, destroying several buildings including the Library. A third fire in 1687 destroyed a large part of Holborn Court, and when the buildings were rebuilt after these fires they were constructed of brick to be more resistant to fire than the wood and plaster previously used in construction. As a result the domestic Tudor style architecture which had dominated much of the Inn was replaced with more modern styles. Records show that prior to the rebuilding in 1687, the Inn had been "so incommodious" that the "ancients" were forced to work two to a chamber. More of the Inn was rebuild during that period, and between 1669 and 1774 all of the Inn apart from parts of the Hall and Chapel had been rebuilt.

More buildings were constructed during the eighteenth and nineteenth centuries. In 1941 the Inn suffered under The Blitz, which damaged or destroyed much of the Inn, necessitating the repair of many buildings and the construction of more. Today many buildings are let as professional offices for barristers and solicitors with between 265,000 and 275,000 square feet of office space available. There are also approximately 60 residential apartments, rented out to barristers who are members of the Inn. The Inn also contains the Inns of Court School of Law, a joint educational venture between all four Inns of Court where the vocational training for barristers and solicitors is undertaken.