Gray, who is one of the favourites for a lock berth when the Lions head to Hong Kong and Australia in the summer, was stretchered off just before the half hour in Edinburgh.
The Sale star suffered a leg injury after twisting awkwardly in a tackle and is expected to be out of action for weeks rather than days.
Scotland boss Scott Johnson described the injury as "more hamstring than anything else" before admitting that the 23-year-old will definitely miss next week's trip to Paris and a number of Premiership games as his club side battle against relegation.
Johnson comments suggests that Gray's Lions hopes aren't over, though, after he went on to say that he "will play again this season, but he'll be out for quite a few weeks."
Jones followed Gray off the field after 58 minutes with a shoulder problem and is now a major doubt for Saturday's Championship decider with England in Cardiff.
The full extent of the setback is not yet known but Wales are hopeful that it will prove to be nothing more serious than a stinger injury.
Jones has been in superb form in recent weeks and kept hold of the national captaincy despite the return to the first XV of Sam Warburton in Scotland.
While Gatland will be keen to find out the extent of the injuries to both big-name forwards as the countdown to Lions selection at the end of April gathers pace, Wallaby coach Robbie Deans faces a similarly anxious wait to hear about the fitness of star openside David Pocock.
The Brumbies fetcher limped out of his side's easy win over the Waratahs earlier today, with initial reports suggesting an ACL tear that would rule him out of the three-match series in Brisbane, Melbourne and Sydney.
One person definitely out of contention for the series is Ireland's reserve scrum-half Eoin Reddan after he broke his leg in the last minute of the draw with France in Dublin.