Sunderland earned their second win of the season against Burton Albion on Saturday.
Coleman watched on nervously from the sidelines as Sunderland finally took the lead in the 84th minute at the Pirelli Stadium, before George Honeyman doubled the Black Cats lead to earn a 2-0 win.
The victory is Sunderland's second of the season in the league, winning their first way back in August away at Norwich City 3-1. They remain in the bottom three of the Championship, but have climbed to 22nd.
Former Sunderland defender Gray stated that he loved seeing Coleman celebrated with the fans after the full-time whistle, before identifying the importance of the win for Sunderland's confidence going forward.
“This was a massive win for Sunderland to get themselves off the bottom of the table,” Gray said. "They’ve just been giving in, getting themselves in good positions but not being able to hold on to them.”
“They needed to win and I’m so thrilled for them and I’m thrilled to pieces for Chris Coleman. It was fantastic to see him going over to the supporters at the end – I love that.”
Sunderland next play host to Reading at the Stadium of Light as they look to gather some momentum going into a busy festive period that will see Coleman's side play six times.
The Wearside outfit have lost four out of their last six outings against Reading, but home advantage could prove crucial against Jaap Stam's faltering side as Coleman looks to make it back-to-back wins.