The midfielder opened the scoring just before half-time and further goals from Francois Zoko and Sam Surridge earned an impressive three points.
The Grecians were in the top three prior to the match at Huish Park and Gray insists the squad are ready to push on to the next level.
“Everything came together,” he told iFollow Glovers.
“We feel like it’s clicking now. We got relationships in the whole team; myself and Tom on the right side, Dicko and Otis on the other, and the defence is settled now.
“To put that performance in after Mansfield was absolutely brilliant. We lifted ourselves and kept going.
“We’re really enjoying it at the moment. Hopefully we can push on now and you never know where it will take us.”
Gray’s finish was his first league goal for the Glovers following his summer move from Luton Town.
The ex-Hatter intercepted a stray Lloyd James pass before coolly curling into the bottom corner, something he has been working on.
He said: “Our game plan was to put them under pressure and win the ball high up the pitch. We put it into practise and it paid off.
“The boys put in an unbelievable shift; we had quality and scored some brilliant goals.
“Couple of the boys are saying I got a bit of a gift but it’s all about interception knowledge!
“I was lucky enough it fell to me, I shifted it and put it in the corner so yeah, it was a good goal.”