Gray's record-setting score was 691.9. The previous Olympic record was 690.3.
She beat out silver-medal winner Ivana Maksimovic of Serbia, who scored a 687.5, and bronze winner Adela Sykorova of the Czech Republic, who came in at 683.
"Upon unleashing her final shot, beaming Gray, who led throughout the final round, frantically pumped her right arm, then turned to applaud the crowd at the Royal Artillery Barracks," USA Today's reported.
For more on this story, check out USA Today's Olympic coverage.