The Blades' other hero was goalkeeper Paddy Kenny who saved a Graham Alexander penalty ten minutes after Gray's strike, following the dismissal of Phil Jagielka.
The goal came from a Michael Tonge corner that was headed back across goal by Leigh Bromby, for Gray to nod home from close range.
The Lilywhites looked for a quick response and Eddie Lewis had a 20-yard drive pushed away by Kenny for a corner, with Richard Cresswell seeing the Irishman keep his header out from the flag kick.
In the unlucky 13th minute Cresswell played a neat flick to David Healy, who was fouled by Jagielka in the box.
The Blades man received his marching orders, but Kenny reacted smartly to block Alexander's low spot-kick.
Preston continued to look for a leveller but their play lacked fluency and chances were few and far between - Chris Lucketti heading a Healy cross wide of goal their best before the break.
The pattern continued in the second half, with a Lewis free-kick that curled narrowly over the top a rare break from the midfield battle.
In the closing stages Ashley Ward almost extended United's lead, only for Andy Lonergan to turn his deflected effort away for a corner.
The referee added on four minutes of injury-time, but the Lilywhites were unable to take advantage and the ten-man Blades hung on for their first victory of the campaign.