Amere May scored 10 points for Delaware State (4-4). Gray was 9 of 14 from the field and his work on the boards helped the Hornets hold a 45-34 rebounding advantage.
Gray's previous high was 20 points against Norfolk State last season.
Delaware State hit six consecutive free throws to close out the half with a 32-21 lead and then scored the first five points of the second half.
It's the fifth time in school history Delaware has started the season by losing its first seven games.
Delaware still leads the all-time series 11-4.