Born in Stockton-on-Tees, County Durham, Gray's main position was in midfield, but he played in all outfield positions during his career. He signed as a trainee to Sunderland in 1990 and stayed with them until 1996 when he made a £100,000 transfer to Oxford United. In 2001 Darlington agreed to end his playing contract so he could concentrate on being reserve and youth team coach on a full-time basis.
On Saturday 30 September 2006, David Hodgson was suspended by the club following a run of poor results and a possible approach from Bournemouth, leaving Gray and Neil Maddison in joint caretaker charge for up to two weeks while an internal investigation was carried out. Hodgson was subsequently dismissed shortly after. Former Doncaster Rovers manager Dave Penney took over the manager's job with Gray as his assistant. Neil Maddison took over his job as youth team coach but he continued his role as reserve team coach along with his assistant managerial role. He took over as caretaker manager again on 1 May 2009 after Penney took the managerial role at Oldham Athletic, before joining up with Penney again as his assistant at Oldham. Gray took over as caretaker manager for the final game of season 2009–10 after Penney left the club. Gray left Oldham on 2 June 2010 after being unsuccessful in his application for the full-time manager's position.