No-one called her back, so she rang again on Monday and was told her package had been lost and she would have to lodge a claim through Immigration.
"I'm like, what happens then, are you going to do a further search? And he said, 'No, you have to do a claim, and you have to get Immigration to lodge it from their side as well'."
Ms Gray, a team manager at an Auckland call centre, said she was "devastated" by the news, and feared becoming a victim of identity fraud.
She sent emails to CourierPost managers and top Immigration officials, and told the company that she had contacted the Herald.
A search by CourierPost employees that night found her documents stuck to the bottom of a delivery bag.
CourierPost spokesman Aaron Hanson said the investigation began as soon as Ms Gray contacted the company, and was not influenced by her subsequent emails.
CourierPost is part of Express Couriers Ltd, a joint venture between DHL and NZ Post.