Tonight, the Hillsborough club issued this statement: “The club would like to thank Stuart for his services and wish him well for the future.”
His record in charge at S6 is a fairly neutral in statistical terms 84 games: 30 wins, 25 draws 29 losses.
But Chairman Dejphon Chansiri told swfc.co.uk: “This is not a decision I have taken lightly but one that I believe is in the best interests of our club ahead of the 2015/16 season.
“The club will be taking a new direction next season and it is my belief that the appointment of a new head coach will help achieve my desire of bringing Premier League football back to Hillsborough.
“I would like to thank Stuart for his hard work and diligence on behalf of Sheffield Wednesday and wish him all the very best moving forward.”
Wednesday won’t be giving many immediate clues on his replacement saying: “We will be making no further comment at this time.
The club finished 13th in the Championship last season, 18 points off the play-off spots and 19 clear of the relegation zone.
Gray, aged 55, was appointed as head coach following the 2-1 win over Rochdale in the FA Cup on 25 January 2014.
The immediate reaction of many fans was that they felt huge sympathy for a man who clearly did not have the support of the board.
And he has been through such a personal ordeal before.
At Portsmouth he was made redundant in April 2012 as part of cost cutting due to their financial difficulties.
A year earlir he had left Burnley as part of a ‘restructuring’ scheme.
And in September 2009 Gray was sacked as Northampton Town Manager.
Gray becomes the fourth Championship manager to leave his job after the end of the season, following the departures of Brentford’s Mark Warburton, Leeds’ Neil Redfearn and Derby’s Steve McClaren.
And across the city, ofcourse, Sheffield United have only recently done exactly the same thing, Nigel Adkins taking over from Nigel Clough.
*Fans are already starting to speculate who may come in: names being bandied around include Gus Poyet, Sam Allardyce, Mark Warburton, Steve Evans, Benito Carbone, Darren Ferguson and Dan Petrescu.
Glenn Roeder, who was appointed on a three-man sporting director committee in April, may also be in contention.
That three-man committee, which consisted of Gray and Adam Pearson, now only consists of Roeder after Pearson left for a similar position at Leeds shortly after his appointment.
The Owls have not been in the Premier League since their relegation in 1999-2000.