The Whites beat Birmingham City 2-0 on Tuesday night to extend their unbeaten league start to seven fixtures, and have moved to the top of the table as a result.
Gray spent his entire playing career at Elland Road between 1966 and 1983, as well as managing Leeds twice, and he claims that the atmosphere around the stands is testament to the club's impressive start.
"They are exciting times for the fans," Gray told Sky Sports News. "They have started the season very well, there's a long way to go but the good thing about it is the expectation level around the football club is going up again.
"The fans are very optimistic with what they have seen - new players have come in and performed well. The only goals they have conceded in the league so far were in the first game at Bolton. Other than that they are looking pretty solid and creating chances. To be top of the table at this particular time with a new coach and new players is a great achievement.
"The atmosphere around the stadium is tremendous - you look at the crowd last night and there were over 31,000. It was the biggest midweek crowd at Elland Road for a long time. Hopefully, come the end of the season we will be in the same position we are in now.
"The good thing about the team is you look at the game last night and the substitutes who come on like Kemar Roofe, who has played very well this season, and Stuart Dallas who scored the second goal. The bench is looking very strong and the first eleven have all done a job so far this season."
Leeds have not played in the Premier League since the 2003-04 season.