Sheppard's teammate and training partner Yolanda Neff (SUI) took out the world title in a close battle ahead of a fast-finishing Yana Belomoyna (UKR).
Gray enjoyed an excellent race, avoiding a crash at the start to lie in fourth after the start loop. The young Dunedin national champion settled into consistent laps for a strong 12th-placed finish in a 48-strong field at her first world championship.
In other racing, Rotorua's Dirk Peters finished 28th in a very competitive men's under-23 race. He started well and then reeled off six consistent 13-minute laps.
"I had a pretty good start for me in 23rd. I had hoped to make it into the top 30 and move up each lap," Peters said.
"It is world champs and everyone comes in with their best form and I just wasn't fast enough today. I was a little bit disappointed but, then again, nothing went wrong and I had a solid race so I can't complain too much."
It was not such good news for Christchurch teammate Tom Bradshaw, who suffered an asthma attack midway through the race. The young rider was coping with a cold and it didn't help he was racing in hot and humid conditions. He was treated and recovered fully later in the day.
Tonight (NZT) New Zealand have high hopes with world No 2-ranked Anton Cooper, along with Nigel McDowell, Sam Gaze and Tom Filmer, competing in the junior men's race. Rosara Joseph and Karen Hansen also race in the elite women's competition.
Results from the mountain bike cross-country world championships in Austria overnight (NZT):
Junior women: Andrea Waldis (SUI) 1:07.29, 1; Sofia Wiedenroth (GER) at 30s, 2; Lena Putz (GER) at 1:19, 3. Also New Zealander: Mary Gray at 7:46, 12.
Men's under 23: Ondrej Cink (CZE) 1:19.40, 1; Michiel van der Heijden (NED) at 14s, 2; Daniele Braidot (ITA) at 48s, 3. Also New Zealanders: Dirk Peters at 7:09, 28; Tom Bradshaw dnf.
Women's under 23: Jolanda Neff (SUI) 1:23.57, 1; Yana Belomoyna (UKR) at 18s, 2; Paula Gorycka (POL) at 27s, 3. Also New Zealander: Samara Sheppard at 6:40, 12.