Wednesday raced in to a 2-0 half-time lead when goals from midfielder Caolan Lavery and Leon Best, loaned from Blackburn, put them two up at the break.
An own goal from Birmingham's Will Packwood following a Jeremy Helan cross extended the home side's lead, before another stunning Lavery effort heaped more embarrassment on Birmingham.
Lee Novak was able to guide home a Chris Burke cross late on, but the result stayed as it was much to the delight of Gray.
Gray said: "It was up there with the Leeds performance (when Wednesday won 6-0) in my opinion. I said to the players before they went out that they needed to get their tackles in, crosses in, shots in, and that's exactly what they did.
"I don't think they threatened all game to be quite honest. They got one back at the end which was a little disappointing, but I just wish it could have been 4-0 for the sake of the players."
Wednesday attacker Lavery scored twice in the game, and Gray explained that he was not surprised with the ruthlessness of his performance.
"I see Lavery everyday so I wasn't surprised about his superb and ruthless performance. His goals were brilliant. The first one he chopped inside brilliantly and the second was just a great strike," said Gray.
On top of Wednesday's impressive display, Gray also had time to give special praise to midfielder Lee.
Gray: "We've had a tough run of games lately so it was brilliant to have Kieran back. He was brilliant in every aspect and played a hand in near enough every one of our goals. He was almost faultless."
Despite the Owls manager leaving the game with a smile on his face, his opposite number in the dugout Lee Clark expressed his disappointment at the result.
"I've got no complaints about the result because I thought Stuart's side were excellent where as we were just disappointing," he said.
"I'm disappointed, frustrated, and worried. There are so many adjectives to describe how I'm feeling, but all in all I think that our efforts from Wednesday night just took its toll on us.
"We were happy with how it went on Wednesday against Burnley so we wanted to give the players another chance, but I think they were just shattered."
As well as the disappointment surrounding the result, Clark also confessed to being nervous about the relegation zone. Blues are eight points clear of 22nd-placed Charlton, although they have four games in hand.
Clark: "I'm nervous as it is because we are too close to the drop for my liking. It's not that bad at this moment in time but we just need to look after ourselves a little better. The wins hopefully will come."