Grey's final score was 691.9, topping the 690.3 mark set by China's Du Li at Beijing in 2008. She clinched gold on her final shot with a 10.8 — just 0.1 off what would have been perfect.
Serbia's Ivana Maksimovic won the silver, 4.4 points back. Adela Sykorova of the Czech Republic was third, 8.9 points behind Gray.
Gray's qualifying score was 592, also an Olympic record, besting the 589 set by Poland's Renata Mauer-Rozanska at the 1996 Atlanta Games.
These are Gray's second Olympics. She was fourth in air rifle and fifth in three-position rifle at the 2008 Beijing Games.