Cuban free-agent signee Yoan Lopez was impressive in his three-inning stint for the D-backs, allowing just one hit and a walk.
It was the second loss of the day for the Rockies, who fell, 10-3, to the Padres at Salt River Fields during the afternoon.
Gray, the Rockies' top prospect, hadn't given up a run in six previous spring innings before the game began with singles by Ender Inciarte, Aaron Hill and David Peralta, and a one-out double by Jake Lamb. In the second and third, however, a more settled Gray struck out two and limited the D-backs to one hit.
"I was really feeling too good -- it was a night game, I slept in, all that stuff," Gray said. "All I wanted to do was go. Everything that I had been working on, like staying direct at the target … I started flying open, not staying over the rubber. Everything stayed up, belt-high. It took so long to be able to settle down."
The first inning also had some sloppiness. On the third hit, Peralta's single, third baseman Trevor Story committed one error by letting the throw from the outfield squirt past him, and Gray committed another when he threw wildly after retrieving the ball.
But Gray, in his second Major League camp, showed composure, as well as a 92-to-95-mph fastball and a changeup that helped him when he realized hitters were firing early in counts at his hard stuff.
"If I was in the same spot last year, it would have gone south," Gray said. "I should have taken care of the first inning. But I'm just glad I made some changes out there, positive."
A high-water moment for the Rockies came in the fourth. Troy Tulowitzki delivered Colorado's first hit off Hellickson, a hard single to left, then Carlos Gonzalez followed with a laser to right. Tulowitzki had to duck, then went from first to third and Gonzalez from home to second without hesitation.
With Tulowitzki coming off surgery on left hip labrum and Gonzalez recovering from surgery on his left knee, the play was cause for optimism.
"I felt I was flying," Gonzalez said. "I was going to catch Tulo at third base. I felt he took a triple away from me.
"But I felt really good coming out of the box."
Said Tulowitzki: "To get it out of the way felt good for me. It was my first time on the bases, first time going first to third. In the [regular] season on that ball, hopefully I'll score on that."
Up next: Right-hander Rubby De La Rosa will try to get back on track on Thursday as the D-backs play host to the Cubs at 6:40 p.m. MST. De La Rosa pitched well in his first couple of appearances this spring but struggled with his command a bit in his most recent start.