Gray, 45, was jailed for 24 weeks for neglect over his treatment of horses on Spindles Farm, in Amersham, Buckinghamshire.
He and his family were all found guilty of charges relating to the care of the horses after a defended hearing.
Gray was the only family member jailed, but four days later was granted bail pending an appeal. The judge ruled that the appeal process would probably take longer than the 12 weeks Gray was required to serve.
However, The Sun today published pictures showing Gray and his son, James Junior, 16, at a horse fair in Slough, Berkshire.
A condition of the 45-year-old's bail is that he is not to keep, deal or transport horses.
The Sun quoted the judge, in granting bail, as saying: "Mr Gray is not to keep or to have any dealings with horses. If that is not acceptable, then bail will not be granted."
The Sun quoted one source at the horse fair as saying: "Father and son were right in the thick of all the action when the men were haggling over the horses. They were totally engrossed."
The newspaper said it had "invited" Thames Valley police to inspect its photos.
Gray's appearance at the horse fair could, if formally found to be a breach of bail conditions, result in his recall to prison.
More than 110 starved and neglected horses were removed by welfare groups from the Grays' Buckinghamshire property in January last year. The bodies of a further 32 equines were found on the property.
Charities have subsequently revealed that care and rehabilitation of the animals has cost close to £1 million.
Members of the horse-trading Gray family were charged with neglect and defended the charges. They were found guilty early in May after a 12-week trial, brought by Britain's RSPCA.
It was the longest running animal welfare trial in British history.
They were also found guilty of failing to meet the welfare needs of 114 equines.
James Gray, as well as being sentenced to 24 weeks in prison, was banned from keeping horses, ponies and donkeys for life. He was also ordered to pay £400,000 in costs.
His son, James Gray Junior, 16, was ordered to complete an 18-month supervision order and was banned from keeping equines for 10 years. He cannot appeal this ban for five years.
Wife Julie Gray, 42, and daughters Jodie Gray, 26, and Cordelia Gray, 21, were also banned from keeping equines for 10 years, which they cannot appeal for five years, and were ordered to complete 150 hours of community service each over 12 months.
Julie Gray was also ordered to pay £750 in costs, and Jodie Gray and Cordelia Gray £500 each.
District Judge Andrew Vickers said of James John Gray: "I know you have a strong background with equines so it is all the more sad that you stand convicted. It is something your father and grandfather would be ashamed of."
James John Gray and his son were found guilty of causing unnecessary suffering to 40 equines at the conclusion of the trial.
Along with wife Julie Gray and daughters Jodie and Cordelia, they were also found guilty of failing to meet the welfare needs of 114 equines.