Pray is a census-designated place and unincorporated community in Park County, Montana, United States, in the Paradise Valley. The town was founded in 1907 by Valentine Eggar, an entrepreneur. He named it after Congressman Charles Nelson Pray. Its population was 681 as of the 2010 census. Pray has a post office with ZIP code 59065, which opened on December 8, 1909. The community is located on Highway 540, on the Yellowstone River.