The hosts, playing their first league match under the stewardship of chairman-come-manager Mike Woodward, felt they should have won the game after a cast-iron penalty shout that everyone bar the referee spotted.
Even the U's fans and management had to confess that Tommy Jaszczun upended Michael Kightly in the box but referee Darren Cann disagreed and to rub salt in the wounds booked the Grays winger for diving.
Earlier Robbie Simpson's predatory opener for the visitors was cancelled out by Lee Boylan's first league goal in a Grays shirt.
These two sides shared eight goals between them in the corresponding fixture last season, with Grays emerging 5-3 victors, and the early stages suggested another goal-fest was on the cards.
U's midfielder David Bridges forced a smart save out of Ashley Bayes inside the first 10 minutes when his spectacular bicycle kick was tipped over by the Blues' custodian.
At the other end, Justin Richards missed a gilt-edged chance to mark his Grays debut with a goal when he ghosted in to the box only to glance Stuart Thurgood's pin-point cross inches wide.
Richards has arrived at the New Rec on loan from Peterborough for a month as part of the deal that took Aaron McLean the other way and he immediately struck up a good understanding with Boylan that bodes well for Blues' fans.
With both defences looking less than assured a goal was inevitable and it was the visitors broke the deadlock in the 17th minute when Jon Brady's free kick was met by the towering figure of Michael Gash.
Bayes, whose view was blocked by a sea of players, managed to push Gash's header away but Simpson was the quickest to react and he gleefully lashed the ball into the roof of the net.
Grays reacted impressively to the set back and were unfortunate not to be back on level terms five minutes later when Boylan's looping header was tipped athletically over by Paul Crichton.
Dennis Oli was next to go close for the hosts when he got in front of his marker to meet Kightly's centre but couldn't angle his header goalwards.
But the visitor's lively front pairing of Simpson and Gash ensured the U's looked dangerous themselves and Gash will have felt he could have done better with a close range header that was easily gathered by Bayes.
Grays grabbed a merited equaliser a minute before the interval when Thurgood's quickly taken free kick was laid-off by Richards for strike partner Boylan who volleyed confidently past Crichton.
The pace was no less frantic after the re-start but, in contrast to the first, chances were kept to a minimum.
Kightly whipped a free kick well over for the hosts and then thought he had won a spot kick after going down under a challenge by Jaszczun.
Referee Cann thought otherwise and instead booked the ex-Southend man for diving.
Kightly was the first of four Blues players to enter Mr Cann's book as the half became punctuated by the shrill of the referee's whistle.
Smith, Ronnie Bull and Thurgood all picked up yellow cards for late rather than malicious tackles.
Woodward threw on Glenn Poole for the closing 23 minutes and the goal-getting midfielder went close with a fizzing drive over the bar minutes after his introduction.
But the U's stood firm and could even have pinched a winner in the dying minutes.
Blues failed to clear their lines allowing substitute Marcus Richardson to get to the by-line. The big striker fired a cross-cum-shot across goal that struck Smith on the knee and dropped agonisingly over the bar.