Two defeats from their opening two games, two red cards, some chaotic defending and off-field protests against chairman Ken Bates meant United went into the game under more scrutiny than they would have liked.
But an early goal from Ross McCormack settled the nerves and, although Tom Lees put through his own net to bring Hull level, goals from Lees - at the right end - Robert Snodgrass and Ramon Nunez helped to lift some of the tension around Elland Road.
"I'm delighted after losing our first two," Grayson, in his 300th game as a boss, said. "We knew it would be difficult after Hull had a good result at the weekend (winning at Ipswich), but we were good with and without the ball and made a really good Hull team look ordinary at times.
"The players were excellent from start to finish. It's great for the players. They showed tremendous spirit, great attitude, belief and confidence.
"The results we have had could have had a negative effect. We were down to the bare bones tonight, with no strikers, (Jonny) Howson and (Max) Gradel suspended and (Leigh) Bromby and (Ben) Parker injured,
"So it's a massive result. It's embarrassing when you see your team in the bottom three, but I had immense belief and confidence in the players to get results."
Leeds were the better side throughout, with Hull only really creating chances after Nunez's third of the season with 22 minutes remaining.
Even then, they found Andy Lonergan in impressive form, but not as much as midfielder Adam Clayton, a signing from Manchester City last summer who is now getting his chance after a year out on loan in League One.
"He's playing with immense confidence and belief," Grayson said of the 22-year-old.
"He's comfortable and confident on the ball, he works hard and likes a tackle. He's grasped his opportunity. He's a great lad to work with and is going to keep growing as the season goes along."
Having won at Ipswich on Saturday, Hull arrived at Elland Road well-fancied to leave with a first win there in 24 years.
As it was, they left on the end of their heaviest defeat against the Whites since 1956, and with concerns over their ability to take their chances - a fact previously highlighted in their opening-day loss against Blackpool.
"We shot ourselves in the foot tonight," said manager Nigel Pearson.
"After they started a bit better than us, once we equalised, I think we were relatively comfortable and looked dangerous.
"But the goals either side of half-time and the fashion in which we conceded them caught us out.
"I can't keep talking about us creating chances and not taking them. It was a poor result for us, as simple as that. We need to start scoring them, whether that's with the people we have or with new personnel.
"I need to find some answers."
Source: Team Talk
Source: Team Talk