With previous service in South Africa and with the volunteers William Wray was commissioned as Captain when he enlisted with the Canterbury Mounted Rifles in 1915. He embarked for Egypt with the 6th Reinforcements on 14th August 1915. In March 1916 he transferred to 2nd Company Otago Infantry Battalion to serve on the Western Front. On 15th September 1916 Captain Wray received a severe gunshot wound to the left shoulder and hand during the attack on Switch Line, on the Somme. He was awarded the Military Cross for his bravery under fire and, despite being wounded, for his inspiring example. He was again wounded on 31st May 1917 [June 1st], while quartered at Hill 63 during the lead-up to the Battle of Messines a shell burst outside his quarters and Major Wray was evacuated back to England. This was the end of his front-line service. In February 1918 he was given command of troops on a returning transport HMS Tahiti, but shortly after his return to New Zealand Wray was discharged from the NZEF as no longer fit for active service.