 He moved to Third Division strugglers Millwall as player-manager in November 1963 and after the club's relegation to the Fourth Division at the end of the 1963–64 season, he played a bit-part role as a player in the Lions' immediate return to the Third Division at the first attempt.Gray retired at the end of the 1964–65 season.He made a brief comeback for Brentford Reserves in early 1967.