Gray's men face second in the world Les Bleus on Sunday in Paris having won their opening two games in the Six Nations for the first time.
Scotland have won just once at the Stade de France since claiming the Five Nations in 1999.
"We've certainly got the internal belief," Gray told reporters.
"It's always been there in the last couple of years but thankfully that's been transformed on the pitch, certainly in the first couple of games.
"This is a massive challenge, we're under no illusions to how big this is and a challenge it will be," he added.
Scotland beat England in the opening round of the competition and claimed a record victory over Wales a week later.
Along with world number one side Ireland, who they face on March 12th, Gray's outfit is the only team still in with a chance of claiming a Grand Slam.
"We know it's a big occasion, the context with the Championship," 33-year-old Gray said.
"There's a danger of that, letting you hype it too much and you go on the field and you potentially play within yourselves," he added.
'Happy memories'
Glasgow Warriors' Gray will win his 72nd Test cap this weekend but the England success marked his first Six Nations start since 2017.
"There were times that a return seemed beyond you, especially with the depth across the second row," he said.
"I'm really happy that I've been able to battle my way back in and I'm just enjoying my rugby and I hope you can see that on the field," he added.
The 2.05-metre forward spent seven years in the French Top 14 with spells at Castres and Toulouse, before returning to Glasgow.
His most recent appearance at the Stade de France was the 2019 Top 14 final victory with Toulouse.
That day, he featured alongside six and against one of his France opponents this weekend.
"I've got happy memories from the last time I played here," Gray said.
"I've played against and with a lot of the guys who will be taking to the field tomorrow.
"That's a wee bit extra, but that doesn't take away from the job I’ve got to do tomorrow," he added.
