The Greens have broken their silence and expressed alarm at the published photos of Gray with the journalists who have been reporting on donations to the party.
But party co-leader James Shaw, who has until now been reluctant to weigh in on the saga surrounding the NZ First Foundation, stopped short of asking questions of governing partner New Zealand First.
The photos were published on website The BFD, which has been linked to Whale Oil, the blog at the centre of the 2014 book Dirty Politics.
They were of Lester Gray, who quit as party president after he could not reconcile the party's financial statements, and journalists Guyon Espiner and Matt Shand, whose reporting on the NZ First Foundation preceded the foundation's referral to the Serious Fraud Office.
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NZ First leader Winston Peters initially said "we" had taken the photos, though he later said it had been a party supporter.
Shaw told the Herald that the details of what had happened were unclear.
"But regardless of who took the photographs and why, the fact they were passed to a blog that is designed to undermine trust in our political system is a concern."
His comments are likely to increase the pressure on Prime Minister Jacinda Ardern, who has so far declined to comment on the photos.
Shaw also took a step further in relation to questions about the NZF Foundation and whether it has properly declared donations to the NZF party.
"The allegations are concerning and due process must be followed while they are investigated," Shaw said.
"We know New Zealanders will be looking at this issue and worrying about what it means for their democracy, which is why we are focused on making the system more transparent and fair."
Shaw has previously answered questions about the foundation by saying that the country's electoral system needed to be strengthened.
He is now calling for an independent citizens' assembly to "clean up" political donations, which have been clouded by questions over the NZF Foundation, as well as the SFO charges laid in relation to a $100,000 donation to the National Party.
National Party leader Simon Bridges said there remained many unanswered questions about the "chilling" photos.
"It beggars belief to think that somehow by chance these journalists were photographed with Lester Gray and the photos somehow found their way onto a blog.
"If the National Party had been involved in such a thing, Labour and the Greens would be shouting from the rooftops.
"The Prime Minister appears to be hiding. Her silence is damning. Has she asked who took the photos, did they pay for it, and how did they end up on the blog?"
Asked about Bridges' comments, a spokesperson for Ardern said the Prime Minister was focused on the issues New Zealanders care about.
"New Zealand First Party matters are for them to respond to," the spokesperson said in a statement.
Journalists' union E tū has called on Peters to apologise and give assurances that NZ First is not tracking journalists as they go about their work.
When asked about the photos, Peters initially told Magic Talk: "We took the photographs ... to prove that was the sort of behaviour going on."
Peters later said on Twitter that no private investigators had been hired.
"A supporter thought it odd seeing ex-president Lester Grey with Mr Espiner so took a photo. Simple."
Shaw said a citizens' assembly could also look at public funding for political parties during election campaigns.
It would be made up of randomly selected private citizens who would consult with experts nationwide, and produce a report and recommendations.
"A good example is Ireland's citizens' assembly. It had an independent chair and 99 members, 66 of whom were chosen in a manner similar to jury duty, 33 of whom were nominated by political parties," Shaw said.
"A citizen's assembly would come with no vested interests. This clearly needs to occur on this issue as Parliamentarians are incapable of moving on this issue themselves."
He said the Greens would push for Government parties to agree to implement the recommendations of the assembly.