United extended their unbeaten run to seven games, but were left kicking themselves that they didn't turn this draw into a win.
They were the stronger side in the second half at the Recreation Ground last night, but put three headed chances over the bar.
Barry Quinn and Matt Day both nodded good Alex Jeannin corners over after outjumping their markers in the air, while Eddie Hutchinson managed to beat goalkeeper Ross Flitney, but saw his looping header smash against the crossbar.
In truth, it wasn't the best of games, far too fast and frantic to be pleasing on the eye, but the U's will be pleased to have come through unscathed.
Yet the shots on target tally of 7-3 in Oxford's favour, shows that the game was there for the taking.
However, they were also indebted to the returning Billy Turley for two superb saves in the second half, one with his feet in the last few minutes to ensure the visitors kept a clean sheet.
Playing in their all-white strip, United made a strong start with Paul Shaw releasing Yemi Odubade for a run along the right. It finished with Carl Pettefer firing in an angled shot that Flitney saved on his knees.
Pettefer was back in Oxford's starting XI, along with Turley, but Day kept his place at right wingback following his crucial goal at Altrincham on Saturday.
In the Grays defence, following his summer move from Rushden, was former U's centre back Jon Ashton, and he threatened in the first few minutes when he rose well for a free header at the home side'sfirst corner, but directed it past the far post.
Turley was diving full length to his right moments later to try to deal with a terrific 30-yard drive from Gavin Grant.
It looked, for a long while, to be heading towards the top left corner of the goal, but in the end whistled a foot or so past.
Shaw was always looking for the pass to release Odubade, and he managed it again in the 14th minute when, under pressure from Odubade, Flitney sliced his attempted clearance and the U's forward was quickly onto it. But he had a difficult angle and his shot was stopped on the line by Ashton.
It was all 100mph stuff, with players seldom allowed any time to dwell on the ball.
Amidst all the frenetic play, Mickey Corcoran escaped with a talking-to from the referee after an over-zealous challenge on Grant.
When Grays did exert some pressure, Arthur Gnohere produced a good piece of defensive play, and Turley got decent distance when he punched clear.
And Day was in exactly the right place at a Grays corner to block in front of the goalline, by Turley's right post.
At the other end, Odubade went on a blistering run, but ran out of space, and althought he won a corner, the Recreation Ground is so tight that he went crashing into the advertising hoardings just two yards beyond the bye-line.
A flicked header from Hutchinson gave Flitney something to do, but didn't trouble the keeper.
Phil Trainer was booked for a two-footed tackle when he completely missed the ball and went straight through the player, Charley Hearn. United, though, were at least trying to play it into feet, particularly with Shaw.
Quick-thinking by Grays captain Stuart Thurgood almost caught out Turley in first-half stoppage time.
After Pettefer had conceded a free-kick, Turley was out on the edge of his area, bawling at his defenders to push out and hold a high line when Thurgood suddenly took the kick quickly, and had him scrambling back. The effort beat him, but nestled into the side-netting.
The match opened up more in the second half, and Jeannin was involved in setting up attacks.
Odubade did well to cut in past one defender on a run into the box, but then seemed to slip as he shot and drove over.
There was an astonishing lapse of concentration from Grays keeper Flitney in the 56th minute when he produced an air kick to a simple back pass and then saw the ball rolling towards his goalline.
Heart in his mouth, he raced back and saved in the nick of time.
Both sides hit the woodwork in the space of two minutes. First, Hutchinson headed over Flitney, but against the bar from Odubade's cross, and at the other end moments later, Danny Kedwell's 25-yard drive was turned against the post by a superb save from Turley, who then got up to gather the loose ball.
Trainer saw a low shot saved and that was to be his last taste of action as Jim Smith replaced him and Shaw with Michael Standing and Marvin Robinson for the game's final quarter.
Rob Duffy also came on for the last few minutes, and he too went close to a breakthrough goal.
But it wasn't to be.
Oxford United: Turley, Corcoran, Quinn, Gnohere, Day, Hutchinson, Pettefer, Trainer (Standing 63), Jeannin, Shaw (Robinson 62), Odubade (Duffy 82).
Subs not used: Tardif, Anaclet.
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