Los Angeles lost its second in a row and fell a game below the breakeven mark. The Lakers will play again Saturday in Dallas.
Gay scored 21 points to go with eight rebounds and five assists. Mike Conley added 19 points and Zach Randolph had 17 points and 12 rebounds.
The Grizzlies rushed to a 34-18 lead after one quarter, held onto a seven-point advantage at halftime and fought off the Lakers in the final period after they had closed within five.
Memphis bounced back from what was only its second loss of the season, fewest in the NBA.
Kobe Bryant had 30 points for the Lakers while making a mere 7-of-23 shots.