Evans was sworn in as Leeds manager on 19 October, 2015 - hours after Uwe Rosler was sacked having taken charge of just 12 matches.
Despite this, Gray admits he is shocked to see Evans is still in place.
"I spent two spells at Leeds United on loan and I loved every single minute of it," the former England left-back told TalkSPORT on Monday morning. "(It's) a great football club; well-supported, unbelievable.
"This chairman (Massimo Cellino) is spoiling the football club in the way it's being run. Des (Kelly, Gray's co-host on the show) just touched on there how many managers he's gone through.
"I am actually so surprised that this man (Evans) is still in charge at that football club. I was surprised when he got the job and I know how he got the job - which was totally wrong - so I kind of walked away from that football club. I didn't like it at the time.
"He could have been out of that club two or three weeks ago, there's no question about it."
Leeds ended a run of five games without a win against bottom club Bolton Wanderers on Saturday to climb to 16th in the table, nine points clear of the drop.
Gray initially arrived at Elland Road in 2005 on loan from Blackburn Rovers and returned two years later, but was unable to prevent the Whites from dropping into League One.
The former Sunderland player later joined Wolverhampton Wanderers, before ending his career at Leeds' Yorkshire rivals Sheffield Wednesday in 2010.