Gray arrived in January 2010 as part of Brian Laws' backroom team and took charge almost a year later when Laws departed. He was in charge of the team for four games, including an FA Cup win against Port Vale, before handing over to new man Eddie Howe.
He was relieved of his duties at the end of the 2010/11 season and has since worked as a coach at Portsmouth and at Wednesday before replacing Dave Jones last December after the Owls had made an horrific start to the season.
He was still in caretaker charge when he brought Wednesday to Turf Moor last January but was awarded the job, titled head coach, soon after, and is now looking forward to a second game at Burnley in charge of his current team.
It's a game he wants to win too. "The cups are important to me, they were as a player and they are now," he said. "I want to win every game in which Sheffield Wednesday play and we will be going to Burnley set up to win the tie. I know the place very well and I am looking forward to going back there."
He added: "Burnley are a great club. They have done ever so well under Sean Dyche but I want to win the game. They are now a Premier League club, they thoroughly deserved their promotion last season.
"We go into the tie on the back of a really impressive performance against Middlesbrough on Saturday, our supporters will be out in numbers and hopefully we can progress to the next stage of the competition."
Since Dyche became Burnley manager he's tended to go with a very strong team for the cup ties, making very few changes to the team that had played in the previous league game.
That could change tonight. "There's a different feel to the cup because of the enormity of the Premier League," he admitted. "We have always respected all of the cups and we will do that again, but it's also important that we use players.
"We have a deeper squad than last season and we need to make sure that players are fit because everyone can see the demands that are on the players here, so we will look at the idea of change.
"That's not necessarily what we are going to do, but the players do need games and there is a bigger picture to our season and that's there for all to see.
"I think I am loyal to players, but I am not naively loyal and I need to see the people we have brought in and how they operate and can affect the team, because we have brought them in for a reason."