The singer, who is gearing up to release her new record The Sellout, said that she has a "good time" when visiting Britain.
She told the Daily Star: "When America is making me feel like s**t I come over here, play to 20,000 people and have a good time."
Discussing her new LP, she said: "I love this album. It ended up being a big love letter to my fans."
Gray releases The Sellout on June 21.