Gunn attended secondary school at Invergordon Academy from 1975 to 1980, and gained O Grades in a variety of subjects, including English, maths, history and chemistry. He failed his French exam after taking it while "on the road" with Scotland under-15s. At the age of 13, he was invited to play for the under-15 Invergordon F.C. team by one of his school teachers, who managed the team. The team was beaten 9–0 in Gunn's debut, but his subsequent performances attracted the attention of national selectors, and he joined the Scotland under-15 squad around the same time he signed for Aberdeen at age 14.