Lee McEvilly's penalty deep in stoppage time gave Cambridge the win over Grays.
Home keeper Danny Potter denied Stuart Elliott early on, while Cambridge's Jon Challinor and Felino Jardim also went close in the first half.
Grays keeper David Button kept his side in the game with a string of second-half saves, including a stunning parry from Danny Crow's well-struck shot.
But McEvilly held his nerve from the spot after Barry Cogan fouled Wayne Hatswell three minutes into added time.
Cambridge Utd: Potter, Gleeson, Bolland, Hatswell, Brown, Convery, Carden, Challinor, Jardim (McEvilly 76), Holroyd, Crow (Willmott 90). Subs Not Used: Drench, Coulson, Jones.
Booked: Crow.
Goals: McEvilly 90 pen.
Grays: Button, Davis, Stuart, Dayes (Bailey 76), Sloma, Molesley (Cogan 73), Elliott, Thurgood, Welsh, Rigg, St Aimie (Dixon 58). Subs Not Used: Arnold, Hickie.
Booked: St Aimie, Molesley, Dayes, Cogan.
Att: 2,971
Ref: I Smedley (Derbyshire)
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