As of 2003, he was the pitching coach for the Gulf Coast League Reds. He is also co-owner of Beef O'Brady's Restaurant in Sarasota, Florida along with former Red Sox teammate Jody Reed. In a three-season career, Gray posted a 4–7 record with a 3.33 ERA and 10 saves in 96 appearances, including a 3.31 strikeout-to-walk ratio (96-to-29) in 121 ⅔ innings of work.