Born in Withernsea, East Riding of Yorkshire,[2] Gray began his professional career with Nottingham Forest, emerging from the youth system with players such as Steve Hodge and Colin Walsh.
[4] When Hoddle was lured away to Tottenham Hotspur in March 2001, Gray initially took over as caretaker manager, before taking on the role permanently in June,[4] as Southampton moved to their new St Mary's Stadium.
Early results were poor and chairman Rupert Lowe panicked about the effect on the club's investment in the new stadium and Gray was sacked after little more than three months in charge, to be replaced by Gordon Strachan.
[6] On 2 January 2007, Gray was appointed as the manager of Northampton Town after accepting a 2+1⁄2-year contract; he replaced John Gorman who had resigned on 20 December 2006.
[10] Gray became first-team coach at Portsmouth but was made redundant in April 2012 as part of cost cutting due to their financial difficulties.
[11] In December 2012, Gray was hired by his former Southampton colleague, Dave Jones, as a member of the coaching staff at Championship club Sheffield Wednesday.
Following a takeover at Sheffield Wednesday by Thai businessman Dejphon Chansiri, Gray was sacked in the summer of 2015[14] and replaced by head coach Carlos Carvalhal.