Young striker Freddy Eastwood marked his debut for Southend with a sensational hat-trick as they defeated Swansea City 4-2 at Roots Hall.
Then winger Mark Gower forced a save out of Swans' keeper Willy Gueret, before he scooped up Gray's 20-yard daisy-cutter.
Swansea's Lee Trundle tested debutant loan keeper Ryan Clarke on 10 minutes, but Swansea were on terms 60 seconds later when Trundle beat two Blues players before releasing his strike partner Paul Connor, whose lob easily beat an advancing Clarke.
After the initial fireworks the game settled into a stalemate that was punctuated when the influential Gower was substituted on the half-hour following an accidental clash with Eastwood.
Trundle turned Adam Barrett after 34 minutes but his 20-yard effort was easily held by Clarke, before Shrimpers' skipper Kevin Maher squared the ball to Gray, who blasted well over.
Southend regained the lead after 42 minutes when Maher's corner from the left was met by Spencer Prior, who headed into the bottom corner of the net for his first goal of the season.
Goalscorer Connor tried to reduce the arrears on 48 minutes when he headed wide from 19 yards after being fed by Sam Ricketts.
But it was the Shrimpers who extended their lead two minutes later in a carbon copy of their first goal. Gray crossed from the right and Eastwood, on loan from Conference South side Grays Athletic, headed home from six yards.
Roberto Martinez and Andy Robinson both failed to find the target for City, but unmarked substitute Adrian Forbes reduced the arrears by nodding past Clarke from Trundle's centre after 82 minutes.
But Eastwood got his third five minutes later when his shot deflected off Alan Tate beyond Gueret's dive.
Straight from the re-start Trundle tried an audacious shot from the halfway line that cannoned off the crossbar and substitute Scott Fitzgerald fired the rebound wide.