Gray and O'Leary will be on opposite sides for the first time when Aston Villa play United this afternoon.
The two fell out when former Leeds boss O'Leary demoted Gray in March 2001 and appointed former Man United favourite Brian Kidd as Head Coach.
Speaking in The Mirror, Gray said: "David went his way and I went mine, but I'll shake his hand. If you are manager of a football club you've got to make decisions.
"He did what he did and I don't have a problem with that.
"He made what he thought was the right decision. I'm not saying I agreed with it, but I had to respect it.
"David's at a different club now and we both want to win the game, but I've not really thought about the situation to be honest."