Sam Allardyce lost his first game in charge of the Black Cats, as West Brom won 1-0 at The Hawthorns.
Saido Berahino’s goal just nine minutes into the second half proved to be the difference between the two sides.
Former Sunderland star Gray was following the match, and he was pleased with the performance of the team in the first half.
The former Wolverhampton Wanderers and Sheffield Wednesday man, though, was not impressed with West Brom winger James McClean’s antics.
The 26-year-old Republic of Ireland international sparked a melee after the match by celebrating the win in front of Sunderland fans.
It promoted several Sunderland players, including Danny Graham and Lee Cattermole, to confront McClean.
Positive signs in the 1st half, Big Sam know what he has to work with now...! James McLean what a Pr#ck #SAFC— michael gray (@mickygray33) October 17, 2015
Sunderland are second from bottom in the Premier League table at the moment with just three points from nine matches.