The Crystal Palace teenager arrived at Whaddon Road for an initial month last Friday and was on the bench for the home match against Morecambe a few hours later.
Having not yet trained with his new team mates before kick-off, Gray was not called upon, but he is hoping to play some part in this Saturday's home match against Luton Town.
"I got a late call on Thursday night saying Cheltenham were interested and I was excited to come here," Gray said.
"League football is what I need and where my next step is so I was happy to come down and give it a go."
Gray spent time as a youth player at Oxford United and Wycombe Wanderers before switching to Palace, who have since risen to the Premier League.
He has made two substitute appearances for the Eagles this term, both in the Capital One Cup, against Walsall and Newcastle United.
"It was good to get a couple of appearances off the bench for Palace, but hopefully if I get some starts here at Cheltenham, it will be good for my progress," he said.
"The gaffer here likes young players and I think it’s the right move at this time. I want to improve and show the Cheltenham fans what I can do, helping the team up the table."
Capable of playing across midfield, Gray prefers to be in the centre of the pitch, but Robins boss Paul Buckle knows he can also be used as a wide player, with the ability to provide an attacking spark.
"I honestly don't know what I'd say my best position is," Gray said. "I enjoy being in the middle, but being wide is good because you can try to beat players and create things," he said.
"It is going to be good to get a whole week of training under my belt and get going, get a feel for the lads and see what it’s like. It's my first loan spell so I didn't know what I expect exactly, but everyone has been very welcoming.
"It will be good to integrate into the squad and then get some minutes against Luton on Saturday."
Aylesbury born Gray is enjoying life at Palace, where he said the standards are incredibly high every day on the training ground.
"The boys are playing in the Premier League, against the best players in the world week-in, week-out and they push themselves so hard in training," he said.
"You have got to keep up with them and what they are doing, but they encourage and help you, which has definitely helped me grow as a player. You have to keep your standards high and coming here will hopefully help me push on now."