Dismissing the SNP's economic policy, Mr Gray said: "To overcome this economic crisis, we need to work together - MSPs, MEPs, MPs all working in harmony.
"There is no division of responsibility for getting out of recession, because there are no Scotland-only solutions.
"We have to work together across the UK and across Europe. At times like this, we should be working together, not pulling apart."
Scottish Labour European candidate David Martin, added: "The overwhelming desire is for politicians to work together.
"That is what defines the Scottish Labour Party - passionate about Scotland, determined to help middle income and modest income families, and always prepared to work internationally to solve the great problems of the world."
Millions of voters across 27 countries will go to the polls to elect 736 MEPs between 4 June and 7 June.
Scotland will return six MEPs, one less than in the previous European Parliament.
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