COCA comparison gives "gruesome" a much higher frequency of usage, which jives with my impression of it being more commonly used. "Gruesome details" and "gory details" are nearly the same set phrases about the minute and horrid details of a lurid and tragic story, usually but not necessarily associated with murder, perhaps with war and battles, or a bad accident. "Grisly details" is a phrase more often connected with the details of a horrific murder, but gruesome can also be used.
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