Reddick drove in a career-high six runs, and he hit as many homers as he had all season in 37 games.
Meanwhile, Gray (5-1) dominated Cleveland, earning his first win of May.
At first pitch, the temperature was 49 degrees. Oakland manager Bob Melvin wondered about how his team would handle the 32-degree drop from their last game in Oakland.
"Early on, it just felt like one of those cold nights [when] it was going to be tough to get some good swings," Melvin said. "Certainly in the second inning, we had a lot of good swings. Just a rough first inning and a really good second inning. After the first inning, I felt like it would be tough."
Melvin didn't feel that way for long.
Tribe pitcher Zach McAllister struck out the side in the first, but he was not the same man in the second. Pitching with a lead after Nick Swisher hit a solo shot on Gray's third pitch of the game, McAllister (3-4) let the Athletics bat around in the second.
Brandon Moss (double) and Yoenis Cespedes (single) led off the inning with back-to-back hits, and Moss scored on Jed Lowrie's single up the middle.
Derek Norris walked to load the bases for Reddick, who brought everyone home with his second career grand slam.
"He caught our guys off-balance coming out of the gate, but sometimes that's how it goes," Reddick said of McAllister. "He probably has all the confidence in the world, then things go haywire for him. That's the way this game goes. It's very humbling."
By the time the top of Oakland's order got its second shot against McAllister, the big righty's night was drawing to a close.
Coco Crisp and John Jaso both walked their second time up, and Josh Donaldson stepped to the plate.
After working McAllister to a full count, Donaldson put a ball behind the Home Run Porch in left field, hitting the clock by the entrance gate at Progressive Field. That gave Gray more than enough to work with and chased McAllister from the game.
"I just swung through some early offspeed [pitches], and I was able to get a good pitch to hit right there," Donaldson said. "That's one of the best ones, as far as I have hit it this year. I felt like I hit it pretty well."
Donaldson's shot traveled an estimated 410 feet.
"It's really impressive," Reddick said. "It makes you think about how far it would have gone if it wasn't so chilly. It probably would have left the stadium. For him to hit it off the entrance gate on a cold night and an offspeed pitch, it was even more impressive."
Lowrie added a solo shot in the third, and Reddick hit his second homer -- a two-run shot -- in the seventh after Norris hustled to first on a two-out infield single. Oakland racked up 13 hits and stranded just five runners.
Gray walked three and struck out nine before turning it over to Fernando Rodriguez for two innings and Jim Johnson for the ninth.
Once Gray got out of the first inning, he continued to improve through the night. Early on, he didn't always have the command on his fastball, but he still got guys out with his secondary stuff.
The way Gray pitched made it tough for Cleveland to get back into the game.
"[Gray is] a pretty special pitcher," Indians manager Terry Francona said. "He's not the biggest guy in the world, but he can cut it, sink it, breaking ball. A lot of our thinking today was, hey, when you get the first fastball, if it's middle, go ahead and whack it, because he doesn't give you much after that. "
Gray played catch during the long second inning as Oakland poured it on, something he was happy to work around.
"It's definitely a challenge, but like I said earlier in the year when it happened, I'd take innings like that every inning," Gray said.