In 1998 at the age of 20, he left the club he supported as a boy after falling foul of a change of manager.
Howard Wilkinson thought highly of Gray and gave the young striker his senior debut. George Graham took a different view and sold him to Nottingham Forest.
If Gray is sore about that turn of events then it doesn’t show.
United’s current assistant manager, Mick Jones, suggested last week that the 34-year-old had come to Leeds on trial a fortnight ago with “a point to prove” but Gray’s motivation is nothing to do with injustice or Graham’s decision to cut him loose.
“That was a long time ago,” he said. “This is just a great opportunity for me.”
Gray was looking for a new club after parting company with Barnsley and he began training with Leeds at his own suggestion.
He knew Jones and United’s manager, Neil Warnock, from his short spell with Sheffield United and they were willing, in Warnock’s words, to “have a look” at a forward they rated and respected.
For several weeks Gray resisted a deal on the table at Bradford City in the hope of earning himself a contract from Warnock.
The offer he craved arrived on Monday as he and Leeds agreed a one-year deal shortly before the club’s pre-season friendly at Tavistock.
Gray has returned to the fold at Elland Road by way of seven permanent transfers, numerous goals and countless competitive appearances.
“There were a couple of times in past when I was moving clubs and Leeds were mentioned as an option,” Gray said. “I’ve been close to coming back before but it’s never actually happened.
“I wouldn’t call that a disappointment because I’ve had a good career and I’ve enjoyed my football but I’d have jumped at the chance to play for this club again.
“I just didn’t expect it to work out that way, especially now.
“I’m 34 and you kind of feel that if you haven’t had the opportunity (to rejoin to Leeds) by this age then you never will.
“But when the manager got the job here I knew I’d done quite well for him at Sheffield United. It made me think. You never say never in football.
“We had a chat and he said he’d take a look to see if I was fit enough. He must think I can still do a job. For me it feels like a good time to be here because things are happening. The next 12 months look exciting.
“The manager’s stating quite openly that he wants to get one more promotion and he’s very hungry to do it.
“I’ve watched him closely in the last few of weeks and he’s as hungry as he ever was at Sheffield United, that’s for sure.
“He’s not messing about and he definitely wants to take this club up.”
Any concerns about Gray’s physical condition were unfounded. As it transpired, he was fitter than many of the players who reported back to Thorp Arch for the first day of pre-season training on July 11, despite his age and his status as a free agent.
But there was no pretence on the part of either Gray or Warnock to pretend that he was joining United in his prime.
Gray will turn 35 in November and is under contract on a short-term basis, for 12 months.
“I’ll do whatever he wants from me,” Gray said.
“I’ve told him that I don’t expect to be playing every week but if I get a chance then I’ll take it. If he wants me to be a sub, to start or just be around the place then I’m happy to do my job and work hard.”
Warnock, who admitted yesterday that his “crucial signings” are still to arrive at Elland Road, said: “He’s not signed a 10-year contract. It’s only one year but he’ll be a good asset in that period.
“Right from day one he wanted to sign here. He had one or two options lower down the leagues but he can give us good cover.
“There’s always a goal in him and it’s the right time for him to be coming back.
“He’s desperate to play for Leeds again and for the sort of contract we’re talking about, he’s well worth a shout.”
The level of competition that Gray will face within Warnock’s squad next season is not yet clear.
Striker Luke Varney has agreed to sign for Leeds from Portsmouth and Argentinian forward Luciano Becchio is evidently part of Warnock’s strategy for the term ahead.
But United are continuing to listen to offers for top scorer Ross McCormack, who has attracted interest from Huddersfield Town and Crystal Palace, and Billy Paynter is on the transfer list.
The incomplete picture suggests that at least one more forward is likely to arrive before the Championship season begins on August 18.
Gray is merely happy to be included in what is supposed to be a promotion year.
He was approaching his teens when Leeds last won promotion from England’s second tier at 1990 but has not forgotten the buzz in the city.
“I was about 13 when Leeds got promoted from this league last time,” he said. “I remember it vividly and the whole city took off.
“The club have had a similar amount of time out of the top division this time as they did back then so everyone’s ready for it. To do it this season would be fantastic.”
The achievement would not matter to Gray specifically because of his treatment by Graham and his disappointing exit from Elland Road after little more than 20 first-team appearances. It would matter because of his professional ambition, his many years as a supporter of the club and the strong ties between his family and Leeds.
“I’m over the moon to be back,” he said. “Throughout my career whenever I’ve not had a game I’ve always watched Leeds. To come back and play for them is fantastic. I hope I make the most of the chance.
“There might be a few regrets (about what happened under Graham) but circumstances change so quickly.
“Howard Wilkinson gave me my opportunity but he got sacked the following season and George Graham came in. He didn’t give me much of a chance.
“That’s football and that’s how things worked out. I’d have loved to have stayed here longer.
“But I don’t see this as unfinished business. I was never bitter and what happened was a long time ago. This is the club I support and my local team.
“If I’m not playing football then I go and watch Leeds.
“My kids support them and so does my whole family.
“It’s not unfinished business – just a great opportunity and a privilege to be back.”