After leaving coaching, Gray became a football commentator, pundit, and analyst on Sky Sports, serving as a Scottish facet of its Premier League coverage since its inception in 1992, most notably alongside studio anchor Richard Keys and lead match commentators Martin Tyler and Ian Darke. In addition, he reported for Sky from Euro 2004 in Portugal, although Sky did not have broadcast rights for the games. He commentated for BBC Radio 5 Live in the 2002 World Cup and for ESPN in Euro 2008. Gray also provides betting tips for Betfair, and also provided commentary for the EA Sports FIFA series of video games along with Clive Tyldesley from FIFA 06 to FIFA 11, until being replaced in FIFA 12 by Sky Sports pundit Alan Smith.