In November 1939, Shaw suddenly broke up his band and moved to Mexico. On the next day, Glenn Miller called Gray and offered him a job arranging for his band. It was a difficult move because Shaw had allowed his arrangers great musical latitude, while Miller's commercial orientation often led him to second-guess his staff. Gray gradually found himself more in line with Miller's less–mercurial personality and was allowed more of the freedom that he appreciated. As Gray later told author George T. Simon, "To me, Glenn's band didn't swing like Artie's...But after I made up my mind to accept things as they were, things started to click...He was a businessman who appreciated music...I may have been happier musically with Artie, but I was happier personally with Glenn."