Gray, who started in his new role last week, was formerly Marks & Spencer regional manager for Northern Ireland and the Isle of Man.
He replaces Mark McCammond who left to become managing director for Sainsbury's convenience stores in the north of England and Scotland.
Gray said he was looking forward to the challenge of running Henderson's company-owned stores, which include the Spar, Eurospar and Vivo fascias.
"I look forward to building upon Henderson Retail's existing strength within the local marketplace, further enhancing our existing network of more than 70 convenience stores and petrol forecourts and growing our expanding store portfolio," he said.
"There exists a real opportunity now, more than ever, to differentiate our offer to the consumer while at the same time we must remain focused on delivering on our key strengths freshness, quality, first class customer service and store standards."
A spokeswoman for Henderson said: "Nigel has been at M&S since 1990 and brings with him a wealth of experience, market knowledge and a passion for the retail industry, particularly in the world of fresh food development."
Gray serves as a board member of several organisations, including Business in the Community Northern Ireland, Belfast City Centre Management, and Belfast Chamber of Trade and Commerce. He has a degree in agricultural studies.