The clubs are seventh and ninth respectively in the Premier League table after 16 games, with the Clarets just two points outside the top four.
Gray, who joined Watford from Burnley in the summer, has hailed both managers' efforts with their current squads.
"They're both honest and they've both got the same sort of morals when it comes to managing," he told The Telegraph. "The table doesn't lie and what they're doing with the group of players they've got is proving they're good managers.
"Everyone speaks highly of both of them. It's 16 games into the season, not four or five where they've had a great run. Burnley will not be spoken about until the end of the season and then, if they're still there, maybe they will.
"It's better for the team if they keep going under the radar and keep putting in the performances they have this season because the sky's the limit. I think everyone will start to believe that sooner or later."
Burnley face Stoke City on Tuesday evening, while Watford travel to Selhurst Park to face Crystal Palace.