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Gray was thrown on six minutes from the end and headed in a Kevin Maher free-kick before being brought down in the area and scoring his second from the penalty spot.
Southend went in front after 18 minutes when midfielder Mitchell Cole made an impressive weaving run towards home defence before squaring the ball to Mark Bentley who tucked away a cool shot.
Then Maher aimed a text book cross for defender Adam Barrett who out-jumped the rest of the defenders and powered his header past keeper Neil Cutler.
Rotherham were rocked by the two-goal blast but hit back with two goals of their own before half time.
After the break Rotherham could have gone further behind but former Millmoor striker Shaun Goater headed Bentley's pin-point cross at the keeper.
Rotherham had their moments but Michael Keane's raking shot was just wide and Lee Williamson's header was held by the keeper.
Then came the substitution that gave the visitors the lift they needed to keep the pressure on at the top of the table.
Gray arrived for the impressive James Lawson and was immediately in the thick of the action as he headed in a Maher free-kick, and when Shaun Barker brought him down in the area soon afterwards, he scored himself from the spot.