The Gunners head into the game looking to bounce back from the disappointment of their 1-0 loss to Chelsea in the Premier League last month.
Arsene Wenger’s men returned to winning ways when they beat Burnley 2-1 at The Emirates on Saturday to reach the fifth round of the FA Cup.
And former Everton man Gray is expecting to see the north London side claim victory when they host the Saints at The Emirates on Tuesday.
Gray wrote in his column for Paddy Power: “This should be a good game and one for the connoisseurs.
“The Saints have won three league games on the bounce against Watford, West Brom and Manchester United and haven’t conceded a goal in that time. They have to be respected.
“But Arsenal in good form and players like Ozil and Sanchez are back fit again. They’ve a good head-to-head record against Southampton at home and the Gunners will shade it tonight.”
Arsenal were beaten 4-0 when they last came up against the Saints on Boxing Day.
The north London side will host Hull City in the fifth round of the FA Cup at Emirates Stadium later this month. The Gunners have won the competition for the last two seasons running.
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