Striker Sam Vokes deservedly put the hosts ahead just before half-time with a calm finish.
But that lead lasted less than two minutes before Chris Maguire slammed home from close range to earn the Owls a share of the spoils at Turf Moor.
"It's a difficult place to come," Gray said. "They (were) second in the league and a quality side, probably the hardest-working side we've played with two banks of four which close you down and work their socks off.
"Then you've got the boys Vokes and Ings up front and I thought we did well up until the 43rd-minute when we had the opportunity to clear the ball and didn't.
"But credit to my lads they got back into the game. I thought we were better second half, our back four were put under far too much pressure in the first half and our ball retention up front could have been better.
"The brief when I took over was to get out of the bottom three, to keep clean sheets and to score goals which I've done.
"Credit to the lads. Our game plan was to keep them (Vokes and Ings) quiet and we have done."
- Sports & Recreation
- Sam Vokes
- Chris Maguire