Gray died in December 2019 a day after his 85th birthday following a short illness. In his final interview before his death - conducted on the day of the 2019 General Election - Gray was critical of the SNP for not taking a stronger line on independence in Holyrood. He told The National: "In the past, I wrote a number of pamphlets supporting the Scottish National Party, and if I were to write a pamphlet now, which I thought of doing, it would be highly critical of the Scottish National Party. I am a big supporter of independence but I rather regret the fact that the party in Holyrood is not taking what strikes me as a properly independent line.”