Although the Blues beat Hucknall Town on penalties in the FA Trophy final last year, in four attempts they had never won a televised match over 90 minutes until they broke their duck with this convincing 3-0 win over Exeter City.
A first-half goal from Glenn Poole and second half strikes from Dennis Oli and John Martin secured the win that was far tougher than the scoreline suggests.
Blues striker Aaron McLean lit up a scrappy opening period with a wonderful acrobatic volley that whizzed past the post after a good cross from Poole.
Grecians skipper Chris Todd then went close for the visitors when his header, from a Matt Gill throw was tipped expertly over the bar by Ashley Bayes.
Grays opened the scoring in the 34th minute when Andy Sambrook's long ball was flicked on by McLean to Mark De Bolla who in turn played in Poole who strode into the box and fired past Paul Jones.
Exeter started the second half strongly with Dean Moxey's cross-shot almost being turned in by Lee Phillips and Gill's shot from the edge of the box appearing to hit Jamie Stuart's hand in the box.
Dan Woodards than flashed a shot wide and Todd hit the bar from the subsequent corner from which Grays broke and added a second.
John Nutter swept the ball upfield to Poole who released Oli with a sublime through ball. Oli, who had just come on as a substitute, took a touch and slotted past Jones.
The game was put to bed in the 70th minute when Poole's rasping drive was only parried away by Jones. The ball fell to Gary Hooper whose shot was helped in by Martin.
Phillips almost added a deserved consolation for the visitors in the closing stages when his stunning 35-yard drive clattered a post.