The 26-year-old, who was linked with a move to West Ham earlier in the window - as reported by the Evening Standard - has signed a five-year deal with the club having rejected a new deal at Turf Moor.
It represents good business for the Clarets who have doubled their money on a player they signed for £9m from Brentford back in 2015.
The sum has raised eyebrows among fans and pundits. And talkSPORT's Darren Gough and Adrian Durham were no exception.
"A lot of people are saying this (the Gray transfer) shows just how cheap Javier Hernandez was at West Ham, for £16 million," Durham said.
"Oh absolutely, I mean put them two together, West Ham have done brilliantly there, absolutely phenomenal," Gough added.
It remains to be seen how Gray will fare in his second season in the top flight.
But a betting man would side with Chicharito over who will finish the season with more goals in the Premier League.
Gray got nine goals last season, spread across just six games and including a hat-trick against Sunderland.
Hernandez meanwhile, is Mexico's all-time leading goalscorer and has a stellar scoring record of a goal every 1.4 league starts throughout his illustrious career so far.