The 26-year-old penned a five-year deal with the Hornets on Wednesday in a move from Burnley that cost the Hertfordshire outfit £18.5million.
He made his name during the 2015-16 season for the Clarets, scoring 23 league goals as Sean Dyche's men gained promotion to the Premier League, and struck nine time from 32 top-flight outings last term.
That prompted Watford boss Marco Silva to pounce and the former Luton Town star is in line to make his debut against Liverpool on Saturday.
Gray insists it was an easy decision to move south as he felt it was time for a change of scene.
"It happened quite quickly and it was easy. Pretty much a no brainer," he told the club's website. "It's obviously a great club and it's got a big future. I had a fantastic time at Burnley and I achieved my dream of playing in the Premier League – we stayed up last season too.
"I needed a new challenge. I felt like I'd done my job there in the two seasons. It's a fresh challenge; speaking to the club was something that excited me and made me want to come here."