The Owls had seen an 11-game winning streak ended with back-to-back defeats against Wigan and Derby but goals from Jeremy Helan and Jacques Maghoma saw them put their Sky Bet Championship campaign back on track.
Gray admitted Wednesday failed to cope with Huddersfield's diamond shape in the early stages but was pleased his side took notice of his tactical changes at the interval.
"I was disappointed in the first half but after we changed it we started to dominate and by the end I was disappointed we didn't get more than the two goals," he said.
Wednesday are now unbeaten in nine away games and Gray added: "We have players who are willing to put their bodies on the line.
"A good defender has a good habit of getting hit by the ball and fortunately we have good defenders. We showed good legs and great team spirit."
Gray made five changes from the defeat to Derby on Tuesday night and is glad to see his recent loan additions making an impact.
"With the loan signings we now have strength in depth," he said. "Sam Hutchinson and Gary Gardner give us a bit of quality."
Wednesday next turn their attentions to the FA Cup on Monday night where a win against Charlton will set up a Sheffield derby against city rivals United in the quarter finals.
And Gray does not believe his players will need any extra incentive for their second game in three days.
"The incentive is a Sheffield derby," he said.
"The most important thing is that this game is on our patch and we fear nobody. We have been unlucky against Wigan and Derby.
"The players have the chance to be part of Sheffield Wednesday history.
"Speaking personally, I am looking forward to a Sheffield derby."
Helan, awarded two yellow cards but controversially not sent off on his last visit to the John Smith's Stadium, struck in the 40th minute on Saturday afternoon.
Town skipper Peter Clarke kicked the ball against the Frenchman and the midfielder ignored calls for handball to fire into the bottom corner.
Danny Ward had a great chance to equalise early in the second half but goalkeeper Chris Kirkland saved with his legs.
Maghoma sealed the victory in the 72nd minute when he finished off Hutchinson's cross into the box.
With time running out for Huddersfield Adam Clayton's 20-yarder clipped the top of the bar and Ward's header was a fraction too high.
Huddersfield boss Mark Robins made no excuses for his team's performance, and said: "I could go ranting and raving and while that might make me feel better it won't do any good.
"You can count on the fingers of one hand the number of poor performances we have had this season. Our play in the final third was non-existent at times."
Robins said his side wanted to play football, but added: "Possession is vanity if you don't do anything with it.
"The crowd see you doubting yourself and the fans get on your back.
"The supporters need to stay with us because we have some young lads in the team.
"I get the fact that the fans are frustrated and it's up to us to give them something to cheer and get them on their feet. You have to be brave."