It was part of the one-off return of the popular 80s standup show, originally called Saturday Live, which Channel 4 aired as part of its 40th birthday celebrations.
The show included comedians who appeared in the original version of the show, such as Jo Brand and Harry Enfield, as well as new talent like Gray and Rosie Jones, and was hosted by Ben Elton.
Before the performance, Gray, who was the first transgender singer on talent show The Voice in 2016, told her Twitter followers: 'Tonight we make history.'
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'I haven't had a Yorkie bar in five years,' she said at the start of her set, in a refence to the chocolate brand's former slogan 'it's not for girls'.
Gray took to the keyboard in a bright pink suit, telling the audience: 'This is the coolest night of my life, you're watching me experience the coolest night of my life.'
She opened the song with the lyric: 'I look out in the faces in this room, and wish that I could crawl back in the womb.
'And start again, against God's plans, with different glands and smaller hands.'
The dark curly-haired comedian added: 'I wish the world could finally understand: I'm more than just a female Russell Brand.