This is actually a great rug because you can pull so many different colors from it. With the walls gray you need a bolder color (babies need stimulation and plus they spit up a lot so I'd say no white).

A light pink would look good but if you want to stay away from traditionally feminine colors pull out the teals and navy from the rug and go with that.

Don't get too invested in bedding -- you never really get to use it. They can't have sheets or blankets (or bumpers) in the crib with them, really, so you'll probably use a sleep sack + a fitted sheet (of which you need several for emergency changes). I loved my crib set, but it was almost untouched at the time we switched our kid to a bigger bed.

Your rug is gorgeous. Any solid color sheets will be fine.

I am leaning towards blues such as navy. I am more interested in the crib sheet and a skirt since as it was stated that is all that's in the crib with a baby. Just trying to find a nice print with blues that won't be too busy with the rug.

Be sure to follow the safety recommendations. Ignore what you will see in some decorating photos. For safety "Bare is best." https://onsafety.cpsc.gov/blog/2012/09/18/safe-sleep-bedding-pillows-safety-and-more/