Computer simulations (a.k.a. white-box models) are more indispensable than ever to model intricate engineering systems. However, computational models alone often fail to fully capture the complexities of reality. When physical experiments are accessible though, it is of interest to enhance the incomplete information offered by computational models. Gray-box modeling is concerned with the problem of merging information from data-driven (a.k.a. black-box) models and white-box (i.e., physics-based) models. In this paper, we propose to perform this task by using multi-fidelity surrogate models (MFSMs). A MFSM integrates information from models with varying computational fidelities into a new surrogate model. The multi-fidelity surrogate modeling framework we propose handles noise-contaminated data and is able to estimate the underlying noise-free high-fidelity function. Our methodology emphasizes on delivering precise estimates of the uncertainty in its predictions in the form of confidence and prediction intervals, by quantitatively incorporating the different types of uncertainty that affect the problem, arising from measurement noise and from lack of knowledge due to the limited experimental design budget on both the high- and low-fidelity models. Applied to gray-box modeling, our MFSM framework treats noisy experimental data as the high-fidelity and the white-box computational models as their low-fidelity counterparts. The effectiveness of our methodology is showcased through synthetic examples and a wind turbine application.