Jermain Defoe put David Moyes’s side in the lead in the 34th minute, and Victor Anichebe scored twice in the second half.
Sunderland ended the game with 10 men due to the sending-off of Papy Djilobodji in the 89th minute.
Former Sunderland star Gray has taken to Twitter to give his reaction to the final result.
Over the course of the 90 minutes at the Stadium of Light on Saturday afternoon, hosts Sunderland had 42% of the possession, took 11 shots of which four were on target, and earned two corners, according to BBC Sport.
Visitors Hull had 58% of the possession, took 17 shots of which seven were on target, and earned eight corners, according to BBC Sport.
Sunderland are second from bottom in the Premier League table at the moment with eight points from 12 matches, just two points and a place behind Hull.