The Owls remain unbeaten in their four outings in all competitions this season, while the first goal they conceded came deep into second-half stoppage time against Millwall on Tuesday.
Even so, Wednesday have negotiated a tricky start to the season well, picking up five points from matches against promotion contenders Brighton & Hove Albion and Derby County in addition to that clash with in-form Millwall.
It was the first half of the season that let the Owls down in the previous campaign, so Gray will be hoping to continue the strong start in order to push for a top-half finish in his first full season in charge of the club.
Goals have been hard to come by in the opening three games, with Wednesday scoring just twice, but they look to be stronger defensively this time around as well.
Gray will be hoping that the goals arrive once new signing Stevie May gets settled in, and the striker is expected to start for the third game in a row this weekend.
Middlesbrough have also made a good start to their season and will fancy their chances of picking up a third win of the campaign at the Riverside on Saturday.
Birmingham City and Bolton Wanderers have already been dispatched by Aitor Karanka's side, who were also unfortunate to lose against Leeds United last weekend having seen a perfectly good goal disallowed.
Despite that disappointment, Karanka would have been pleased with how his side responded to losing so late, going on to come from behind and beat Bolton on Tuesday.
The Spanish manager will also be delighted with how quickly new signing Kike has adapted to English football, with the summer addition having scored in three of his four outings for the club so far.
If he can keep that form up for most of the campaign then Boro will have a chance to push for the playoffs, but matches like Saturday's at home to Wednesday are the type that they need to win to make that a reality.
Sheff Weds: WWDD
Possible starting lineups
Middlesbrough: Tomas; Damia, Omeruo, Ayala, Friend; Nsue, Leadbitter, Clayton, Adomah; Tomlin, Kike
Sheff Weds: Westwood; Palmer, Lees, Loovens, Mattock; Maguire, Semedo, Hutchinson, Maghoma; May, Nuhiu
Sports Mole says: 2-0