The 27-year-old has improved hugely under the current regime at Anfield, according to the beIN Sports pundit.
The German replaced his Northern Irish counterpart in October and a lot of players - including the likes of Dejan Lovren, Emre Can and Joe Allen - look to have improved under Klopp's stewardship at Anfield.
But Gray believes that the former Southampton man has also come on leaps and bounds since the ex-Borussia Dortmund man arrived, though the 60-year-old has admitted that the Reds could do with another attacking midfielder despite praising the "fantastic" Philippe Coutinho.
"He probably needs an attacking midfielder, although again, he’s has some good players there already," he said to Sport 360.
"I like Emre Can, there’s Jordan Henderson and we don’t know how good Adam Lallana is going to be, although he has been much better under Klopp that he was when Brendan Rodgers was manager, and Philippe Coutinho has been fantastic."
The 27-year-old has seven goals and eight assists in all competitions this season, having scored six times and set up four in every competition last season.
Klopp will be hoping Lallana can continue to improve, as Liverpool have a genuine shot at winning the Europa League this season after reaching the semi-final stage at the expense of Borussia Dortmund following Thursday's pulsating victory.
They face Villarreal in the last-four stage, with the Reds perhaps having a slight advantage in the fact that the second leg comes on Merseyside.