The Blues looked home and hosed when Tony Battersby added to Glenn Poole's goal three minutes after the re-start.
But winger Nick Crittenden struck back just six minutes later sparking a Shots fightback that probably deserved an equaliser.
Playing against his former club, Grays striker Aaron McLean twice went close to opening the scoring in the early stages.
First his snap-shot, after a mistake from Tobi Jinadu, was fielded by Nikki Bull and then he came within inches of converting a Poole cross.
Chris McPhee headed Shots' best chance wide from a Crittenden cross before Grays broke the deadlock.
Dean Brennan's lofted ball was controlled by Battersby, who passed to McLean, who in turn released Poole who side-footed the ball past Bull into the far corner.
McLean then tested Bull from an acute angle and Poole should have done better when he was put clean through but he allowed Tarkan Mustafa to recover and block his shot.
A spell of home pressure, immediately after the re-start, paid dividends when Battersby headed in Poole's corner but Grays' lead was halved soon after by the influential Crittenden.
The ex-Chelsea trainee latched onto a Ryan Scott flick on and coolly slid the ball past Ashley Bayes.
The Shots then laid siege to the Grays goal with Crittenden causing havoc in the home side's defence. He should have scored after a slip by Cameron Mawer and twice he had shots beaten away by Bayes after mazy runs down the right.
The second time the ball rebounded to McPhee whose goalbound header was hacked off the line by Stevland Angus leaving the Shots to realise it wasn't to be their day.