Everton produced a poor performance and suffered a deserved defeat against already-relegated Fulham over the weekend.
The talkSPORT pundit claimed that Walcott looks like a 'little lost sheep' as he questioned what has happened to the three-time FA Cup winner.
In recent weeks, even during the Toffees good games, Walcott struggled to break into Silva's starting XI and he has had to contend with coming off the bench.
Speaking to Matchday Live on talkSPORT (14/04/2019 at 1:30 pm), former Sunderland man Gray spoke about Baines, Jagielka, and in particular, Walcott.
"He [Silva] has had to rely on players who you would have thought that have kicked their last ball for Everton football club," Gray told talkSPORT. "The experience players like Leighton Baines. You don't know what's going to happen to him next season? Jagielka, who helped them out with a goal against Arsenal. You don't know if they're going to be at the club next season.
"People like Theo Walcott. What has happened to him? He looks like a little lost sheep, doesn't he when you see him play at the moment. He's got no confidence at all. He can't get himself into the starting XI. So, if those players are going to leave you have to bring the next bit of quality to take Everton to the next level."
During the 2018 January transfer window, Everton signed Walcott from Arsenal as his career at the Emirates Stadium was stalling further.
Initially, the 30-year-old started fairly well under Sam Allardyce but he has struggled to show consistency or produce high level performances for the club.