Gray turned professional in 1996, after becoming the youngest winner of the English amateur title in 1995. Gray first qualified for the World Championship aged 19 in 1998 where he narrowly lost in round one to future World Champion John Higgins, who went on to win the tournament that year. He first demonstrated his potential by beating future six-time World Champion Ronnie O'Sullivan 10–9 in the first round of the 2000 World Championship, a match in which O'Sullivan scored five . However, he was unable to repeat this success in the second round and lost 1–13 to Dominic Dale, scoring just 208 points, a record low for a best-of-25 match.