It was not until 1995–96 that he came to the fore, starting every game for Sunderland, invariably on the left side of midfield, as the team won promotion to the Premier League as Division One champions.

Gray was also the scorer of their first Premier League goal, scoring the seventh-minute opener in a 4–1 win over Nottingham Forest at the City Ground on 21 August 1996.

Gray gained unwanted attention a year later, in May 1998, when he missed the decisive penalty during a shoot-out in the First Division playoff final after a 4–4 draw with Charlton Athletic, which could have taken Sunderland back into the Premier League.

As a First Division player, he was picked by Kevin Keegan to make his international debut for England as a substitute in the match against Hungary on 28 April 1999.

McCarthy viewed Gray's actions as insensitive due to the fact a number of club staff could potentially be made redundant following relegation.

Wolverhampton Wanderers completed the signing of Gray on an initial 12-month contract in July 2007, reuniting him with his former Sunderland manager Mick McCarthy.

Largely out of Wolves' first team plans, he joined fellow Championship side Sheffield Wednesday on a 30-day emergency loan on 9 January 2009.

[10] Gray earned his first cap for England on 28 April 1999, coming on as a 74th minute substitute in the 1–1 friendly draw with Hungary at the Népstadion in Budapest.

[11][12] He made his competitive debut on 5 June, coming on for Graeme Le Saux at half-time in the 0–0 draw with Sweden during Euro 2000 qualifying.

[15] In 2006, Gray became an investor in Golf Punk magazine, alongside former Sunderland teammates Phil Babb, Jason McAteer, Thomas Sørensen and Stephen Wright, saving the publication from closure.