Sheff Wednesday (13) v Wigan (23)
Scotland international Stevie May scored both Owls goals, side-footing home from close range in the 27th minute before heading the winner - which hit both posts before being adjudged to have crossed the line - 19 minutes from time.
Wigan midfielder Chris McCann headed in James McClean’s 26th-minute corner to put the away side ahead at Hillsborough.
The win was Wednesday’s first taste of success since September 20 when May grabbed the only goal against Reading.
Gray said: “I thought we went 1-0 down against the run of play, (it was) unusual for us to concede a goal from a set-play, but it was the response I got from the players which was fantastic.
“I think we thoroughly deserved the win today.
“When it (May’s header for the second goal) hits one post, hits the other post, I’m just looking straight away at the linesman to see the flag go up.
“I kept saying to the players, the harder you work, the luckier you’ll get and maybe that’s the little bit of luck we deserved today because we didn’t get it last week at Huddersfield.
“It has been a long time coming. You gentlemen (the media) kept on reminding me it was no wins in 10, now we’re unbeaten in four.
“You’re always under pressure if you’re not winning games but one thing I did know the team spirit is excellent. I work with these boys every day and they put an unbelievable shift in in training and I’m a great believer if you do it right Monday to Friday, you’ll do it right on a Saturday.
“What I keep saying to the players is you fail on ability not application and you can’t fault the players’ application.”
Wigan manager Malky Mackay felt his side should have taken at least a draw from the game but was pleased with the performance of his players.
The result leaves the former Cardiff boss with one point from his first two games in charge of the out-of-form Latics, who have now won once in their last 14 fixtures and remain second from bottom.
“I think we certainly deserved not to lose today, in terms of the overall game,” he said. “I’m disappointed for the players because I thought that they came up here to a tough away game and dominated the ball.
“Second half, I always felt comfortable and we had various chances on their goals and never really felt in danger until we gave them the ball when we were in complete control of it.
“What I’ve seen from the group so far has been a willingness to work hard, an honesty about them and good quality from a number of them so it’s a reasonable start in the first seven days, in terms of that.
“I’ve got to be happy in the bigger scheme of things in how we’ve played today. Obviously we’ve lost and it’s disappointing but over a period of time if we play like that we’ll win more often than not.”