The 21-year-old has become a key figure in the Foxes first-team since Puel's arrival earlier this season following the sacking of previous manager Craig Shakespeare.
French tactician Puel has been pleased with Gray's recent form and has admitted he was interested in signing the England under-21 international during his time at St Mary's.
"I saw him last season in the Under-21 games and he can play in different positions for me," he told the Leicester Mercury.
"I wanted him before when I was at Southampton. But I am happy he is in the colors of Leicester and that I found him in my squad because he is a valuable player for the team.
"He showed the quality to control the ball and the play, but also to turn to take space because of his pace.
"His passing is good and he can create opportunities for Jamie [Vardy] and his team-mates."