The Dryburgh Abbey Hotel is said to be haunted by the ghost of a lady known as the 'Grey Lady'. She has been spotted in the outbuildings and on the chain bridge over the River Tweed. According to local legend, she lived at the hotel and had an illicit affair with one of the monks from the nearby Dryburgh Abbey.

The history surrounding this haunting dates back to the time when the abbey was still in operation. The abbot, determined to maintain order and discipline within the monastery, discovered the affair between the lady and the monk. In a fit of anger, he had the monk killed, leading to a tragic downfall for the lady who, unable to cope with her loss, threw herself into the River Tweed.