Gray made a layup to give the Sparks (3-1) a 57-47 lead with 6:29 left in the third quarter, but they missed their next eight field-goal attempts before Odyssey Sims hit a 3-pointer to make it 67-65 with 8:55 to play. L.A. led the rest of the way.
Sancho Lyttle hit a jumper to pull Phoenix within two points nearly 90 seconds later, but the Sparks answered with an 11-4 spurt - pushing their lead to 80-71 on Gray's fadeaway jumper in the lane with 1:46 left.
Phoenix (2-2) committed 10 of its 18 turnovers, and shot 3 of 9 from the field, while being outscored 18-7 in the fourth quarter.
Sancho Lyttle, who had 18 combined points in the first three games of the season, scored 20 for the Mercury.