While Hearts eased aside Championship leaders Stenhousemuir 3-0 on Friday, Hibs also avoided a possible cup shock of their own the following day when beating League 1 favourites Ross County by the same scoreline.
It was a welcome boost for Gray given pressure was beginning to mount following a run of one win in five outings, including a Conference League exit and that derby loss.
"It will be a brilliant game to look forward to," the 38-year-old Scot said. "The stadium will be packed out. I think, no matter who you get in the semi-final, if you look at the four teams that were left, it was always going to be a brilliant atmosphere in any of the games.
"The fact that you've got an Edinburgh derby definitely adds a little bit more spice to it. I watched the draw and right off the back of it you're saying 'I'll enjoy that one when it comes round'."
It will be the first Edinburgh derby at Hampden since Hearts prevailed by 2-1 in a Scottish Cup semi-final in 2022 and, while the Tynecastle side lead 5-1 in League Cup meetings, it is the first time they have met at this stage.
While Hearts have been to the final twice thereafter, but not since 2013, they have not lifted the League Cup since winning it for the fourth time 1962.
Hibs have themselves lost in the final twice since lifting the trophy for a third time in 2007.
However, this will be the first League Cup semi-final for both clubs since Hibs lost to Aberdeen and Hearts were beaten by Rangers in November 2023.
"On that stage, packed out, full house, against your local rivals, it's a brilliant opportunity," Gray said of the match to be played on either Saturday, 31 October or the following day.
It is a first semi-final for Gray as Hibs head coach, although he was caretaker for their last final appearance, when they lost out to Ange Postecoglou's Celtic in December 2021.
"It's definitely something that's eluded us - me especially - for two seasons," Gray, whose side host Kilmarnock in the league on Tuesday, added.
"But, going into every game, we've demonstrated that we're good enough on our day with a complete performance to be competitive against anybody.
"Clearly, it's an Edinburgh derby, which adds to that atmosphere and adds to the occasion. A very special one when it comes around. "
