Jamie Howell grabbed a dramatic late winner as injury hit Bognor somehow kept their perfect home record in tact.
Rocks were on the back foot for much of their clash with Grays but defended resolutely and snatched the points on 85 minutes.
A cleverly worked free kick saw them miss out the big men in a defence marshalled by ex-Charlton centre back Eddie Youds and Howell stole in beyond the far post to loop a header over the goalkeeper.
Bognor's 30th minute opener was also down to excellent delivery from out wide as Guy Rutherford's cross was forced home by Matt Stillman.
Grays, a full time outfit, managed by ex-professionals Mark Stimson and Scott Barrett, deservedly levelled six minutes later on a rapid counter raid as Leroy Griffiths teed up Freddy Eastwood.
They continued to look the better side for much of the second half but home goalkeeper Craig Stoner kept his side level with a close range block and a flying tip over before Howell struck.
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