A police spokesman said the grenade was hurled as the tourists boarded a bus.
Meanwhile, one of the tourists hurt in Tuesday's Srinagar attacks died in hospital to take the toll to nine, doctors said.
About 39 people were hurt in Tuesday's blasts.
The attack at Gulmarg came a day after a series of grenade explosions in Kashmir killed eight people, including seven tourists.
On Tuesday too, seven bomb blasts on the rail system in Mumbai, India's financial capital, killed more than 180.
Police say Tuesday's attacks in Mumbai and Srinagar bore the hallmarks of Pakistan-based Islamic militant group Lashkar-e-Taiba.
The group has denied involvement, saying its fight was only against the Indian troops in Kashmir and not innocent people.