Police confirmed his body was found at a property in Irvine, Ayrshire. Strathclyde Police said there were no suspicious circumstances.
The Pittodrie club released a statement on their website yesterday, expressing their sadness at the death of Gray, who made his breakthrough at the club in the 1980s under former manager Sir Alex Ferguson, before going on to make 50 appearances for the Dons.
A club spokesman said: "Steve was tipped for great things when he was a youngster here, and although he undoubtedly never realised his true potential, he is remembered with fondness by all who knew him.
"Our thoughts are with his family at this sad time."
Born in Glasgow on 7 February, 1967, Gray joined Aberdeen from Kilmarnock Boys Club in 1983 and eventually forced his way into the Aberdeen side which was dominating Scottish football in the early to mid-1980s, playing alongside the likes of Eric Black, Neale Cooper, Neil Simpson and John Hewitt under Ferguson's strong leadership.
He was one of a posse of players from the central belt lured north by Ferguson as the club's reputation grew and he made his first team debut for Aberdeen in a 2-0 League Cup win against St Johnstone at Muirton Park on 28 August, 1985.
It was a stepping stone on the way to the final, where Aberdeen beat Hibs 3-0 at Hampden – Ferguson's only League Cup success at the club. Gray came on as a substitute in that game to collect a winner's medal.
Gray also won international honours, representing Scotland at Under-18 and Under-21 level.
He left Aberdeen in 1988 to join Airdrie, where he won a First Division league winner's medal, before returning to the north-east to play a part in Huntly's Highland League success.
Former team-mate Stewart McKimmie, who played alongside Gray in the Skol Cup-winning team of 1985, said: "It is very sad news. He was a potential star in the making. He could have been a big star and had a lot of ability. He got into one of Alex Ferguson's teams and everyone knows he is a hard taskmaster. But maybe when Ferguson left in 1986, Stevie lost his way a bit, he needed that guidance."