After Gregory's Unipart European Masters triumph, his form quickly faded. He suffered first round defeats in each of his next three appearances in the BDO World Championship at Lakeside – in 1996, 1997 and 1999. Since 1999, Gregory has failed to qualify for the competition. Other than a quarter-final appearance at the 2001 Welsh Open and a defeat to Davy Richardson in the final of the 2003 Scottish Open, he has not featured in the latter stages of Open events since 1999, and he no longer competes on the darts circuit, with his last appearance at a major WDF event being the 2005 Scottish Open when he reached the last 16.