But while the Wolverhampton-born striker is a player interesting the Baggies, the club remains in negotiations with Huddersfield as they continue to pursue Karlan Grant.
Boss Slaven Bilic and technical director Luke Dowling are both working to find the right striker to lead the club’s attack in the Premier League.
Grant – who scored 19 goals for Huddersfield last season – is understood to be a primary target.
But the Terriers are demanding £16million for the 22-year-old.
Albion spent a large chunk of their transfer budget on Grady Diangana last week.
And that is making it hard to reach an agreement for Grant – with the two clubs continuing to hold talks over a structured deal.
Grant himself is understood to be keen to move to The Hawthorns and is hopeful a deal will be agreed.
But if the two clubs cannot strike a deal, Albion could shift their attentions to Gray – with Watford understood to have told them they are open to loan move.
Gray was with Wolves as a youngster but was released aged 13.
He was then picked up by Shrewsbury and had successful stints at Brentford and Burnley before Watford paid £11,500,000 to sign him in 2017.
As well as Gray, Albion have also made contact with Chelsea about a potential loan move for Michy Batshuayi.
But the Express & Star understands the 26-year-old is eager to join a club playing in Europe and is unlikely to move to The Hawthorns.