"It took time to embrace that other part of who I always was," the Cabaret star, now 82, tells PEOPLE

He reached the heights of stage and screen, was married for 24 years and proudly raised two children. But for decades, Joel Grey kept one aspect of himself decidedly out of the spotlight.

Now, at 82, the Cabaret Oscar winner talks for the first time in PEOPLE’s new issue about his sexuality. “I don’t like labels,” says Grey, “but if you have to put a label on it, I’m a gay man.”

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While it’s not a secret to his friends and family, the entertainer’s never spoken about it publicly before. “All the people close to me have known for years who I am,” Grey tells PEOPLE. “[Yet] it took time to embrace that other part of who I always was.”

It was different for a man of his generation. Growing up in Cleveland, Ohio, the son of noted actor-comedian Mickey Katz, Grey remembers “hearing the grownups talk in the next room, my mother included, talking derisively about ‘fairies’ and men being dragged off to jail and even worse for being who they were.”

At about the same time, he says, “I came to realize, along with being attracted to girls, I had similar feelings for boys.”

Grey didn’t reveal his truth for many more years to come.

He was married to actress Jo Wilder for 24 years, a period he calls “the happiest of my life.” Together they have two children: actress Jennifer Grey and son James, a chef.

“I feel very happy for my dad that he has come to a point in his life where he feels safe and comfortable enough to declare himself in a public way as a gay man,” Jennifer tells PEOPLE. “Mostly because the more people are free to own their true nature and can hopefully come closer to love and accept themselves as they really are, no matter what age, no matter how long it takes, to finally be free of the lies or half truths, it is freedom.”

Now after more than seven decades in the spotlight, Grey looks back fondly on the magic he made on stage and screen. His favorite leading ladies feel the same.

“He is so alive and such a force on stage,” says his Cabaret costar Liza Minnelli. “It was just tops working with him.”

Close friend Bernadette Peters, with whom he starred in the musical George M!, agrees. “He won an Oscar and a Tony for his iconic role in Cabaret, and now he’s at an interesting time in his life,” she says. “He can look at how he’s lived and how he can impact other people. It’s a whole attitude towards life and his is one of joy.”

Now a passionate photographer (two of his works hang in the Whitney Museum in New York City), Grey’s next photo book will come out later this year, as will his upcoming memoir.

He also loves the new fans he’s made thanks to later turns in Private Practice and Buffy the Vampire Slayer.

“Teenage girls stop me on the street,” says Grey. “I’m a very happy guy. I’m still cookin’.”