The 27-year-old winger has joined Saudi Arabian club Al-Ettifaq on a permanent transfer for an undisclosed fee.
Gray posted a farewell message on Instagram which said: "After two years with Everton, it's time to say goodbye.
"I wish everyone at the club the very best and will be forever proud to have played for this great team. To the fans, you were always incredible - thank you for your support. You made it a privilege to wear the shirt.
"There has been a lot of speculation about my situation all summer. The truth is, I gave my all to this club on and off the pitch through good and bad. I was ready to play as much football as possible this season but it felt like this was not going to happen.
"It's time for my next chapter. I am match fit and excited to get playing.