The star, who died last November (11) at the age of 95, started paying $32 (£20) a month to Kenyan Silas Ogut in 1988 when he was just five years old.
The donations allowed him to go to school in Kenya's capital Nairobi through charity SOS Children's Villages, which provides shelter for orphans around the world.
Gray didn't forget Ogut when she wrote her will - she left him $8,000 (£5,000) in a trust fund to be paid at the rate of $1,600 (£1,000)-a-year.
Ogut, now 29, tells Britain's Daily Mail, "Ms Gray came to Kenya once when I was about 10. She was a very nice lady.
"She wrote letters to me, asking how my school work was going. The money made it possible for me to have a good education. Now I plan to set up my own business."
A representative for SOS Children's Villages adds, "A lot of our sponsors get quite attached to the children they support and it sounds as if Ms Gray built up a relationship with him."
The star, most famous for her role in U.K. TV series Howards' Way, died at actors' residential home Denville Hall in London on Tuesday (15Nov11) after a battle with bronchial pneumonia.
Gray started her career in 1940s melodramas for Britain's Gainsborough Pictures studio and often appeared alongside her husband, Michael Denison, on TV and in theatre productions.
The couple even made their Broadway debut together playing Lady Markby and the Earl of Caversham in Oscar Wilde's An Ideal Husband in 1996.
However, Gray will be best remembered in Britain for her turn as Kate Harvey in BBC series Howards' Way between 1985 and 1990.
She returned to the stage after her husband's death in 1998 to appear in adaptations of The Ladykillers and The Lady Vanishes.
Her last TV appearance was in 2000 on British soap opera Doctors.
Gray also had a second career as an author, writing 24 books.