The Cobblers missed out on the chance to get the point which would have secured their safety in League One after going down to a 1-0 defeat to MK Dons.
They remain two points and two places clear of the relegation zone ahead of their trip to Elland Road, and Gray is taking heart from their performance at the same venue in the FA Cup earlier this season.
"We won't have any fear going to a big ground like Leeds. We drew there in the FA Cup with only 10 players but we'll have to show more desire from the first whistle than we did here," he said.
"We showed them too much respect in the first half. We didn't get amongst them but we had a real go in the second half.
"We lacked quality on the ball in the first half and we needed to pass the ball better. But no excuses, we didn't start well and although we created some chances in the second half we didn't work their keeper and I can't recall him making a save."