The TalkSport duo were honoured with the Gold Award for 'Best Sports Programme' during Monday night's (May 14) ceremony at the Grosvenor House Hotel in central London.
> Sony Radio Academy Awards 2012: Winners and nominees in full
Keys said as he collected his prize: "Isn't life funny? [I'm] chuffed to bits. Many, many thanks."
Keys and Gray joined TalkSport in February 2011 following their controversial departure from Sky Sports.
Keys resigned and Gray was sacked by the broadcaster after making sexist comments off air about female assistant referee Sian Massey.
Elsewhere, BBC Radio 6Music was named 'Station of the Year' just two years after it was threatened with closure, with awards judges commending the station for "a confidence across its schedule that not only reflects a real passion for music but also a firm understanding of the audience".
Chris Evans was named 'Music Radio Personality of the Year', while Fearne Cotton took home the Gold Award for 'Best Music Programme' and Jools Holland scooped the prize for 'Music Radio Broadcaster of the Year'.
KISS Breakfast with Rickie, Melvin and Charlie claimed the Gold award in the 'Breakfast Show of the Year' category for stations with over 10 million listeners.
Classic FM was honoured with the 'Special Award' in recognition of its 20th anniversary, while Nicholas Parsons was presented with an honorary Gold Award in celebration of 45 years hosting Just A Minute.
The oldest ever recipients of a Sony Radio Award were also recognised as 86-year-old Beryl Renwick and 90-year-old Betty Smith of BBC Radio Humberside won the Gold Award for 'Best Entertainment Programme'.