Dan Charge and Glenn Poole were on target for Grays as they registered only their second win of the season against Cambridge.
Both sides struggled to create anything early on before Grays keeper Preston Edwards tipped Chris Holroyd's close-range shot around the post.
Charge broke the deadlock when he tapped home after Poole guided Richard Graham's corner back into the area.
Poole made sure of the points with a penalty after Graham was brought down.
Grays Athletic manager Julian Dicks told BBC Essex:
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"We thoroughly deserved to win, the lads worked extremely hard and we were the better side.
"Every single one of them gave me 110% and more and that's what you can do with hard work.
"They proved if you get the ball down and you play football you can beat any team as long as you work hard as well."
Grays Athletic: Edwards, Mawer, Hoyte, Uddin, Braham-Barrett, Davis, Vernazza, Robson, Poole, Graham, Charge (Taylor 76). Subs Not Used: Butcher, Cutler, Jeffery, McEvilly.
Booked: Mawer, Poole, Braham-Barrett.
Goals: Charge 58, Poole 90 pen.
Cambridge Utd: Potter, Gleeson, Saah, Hatswell, Tonkin, Willmott (Beesley 82), Reason (Ives 78), Carden, Pitt, Holroyd, Phillips (Crow 68). Subs Not Used: Coulson, Parkinson.
Booked: Reason, Gleeson, Hatswell.
Att: 976
Ref: J Farries (Oxfordshire).
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