At Multan, Gregory's countryman, Moeen Ali, notched his first half-century in the PSL to help the Multan Sultans defeat the Karachi Kings by 52 runs.
Gregory, a right-arm seamer, got the key wickets of Chris Lynn (34), Fakhar Zaman (20), Mohammad Hafeez (1) and skipper Sohail Akhtar (12) caught behind to restrict Lahore's chase to 116-6.
Tom Banton, also of England, and Pakistan Under-19 batsman Haider Ali both scored 34 runs each in Peshawar's total of 132-7 after heavy rain curtailed the game to 12-overs-a-side at Pindi Cricket Stadium.
Banton and Haider carried Peshawar to 90-3 in seven overs until fast bowler Dilbar Hussain pulled them back by claiming 4-25 in his three overs.
Lahore's reply got off to a blazing start as Lynn and Fakhar combined for 48 without loss in the first four overs. But when they were dismissed in the same over by Gregory, Lahore fell into old habits.
Lahore remained the only team without a point after losing its third successive game in the six-team tournament.
Peshawar had two wins from its four games.
Multan was on top of the standings after three wins from its four.
Karachi had two points from three matches.
Ali capitalized on being dropped on 0 in the first over to smash 65 off 42 balls, including four sixes.
Captain Shan Masood scored a more cautious 61 off the same number of balls, as Multan made 186-6 after being put in to bat.
The Karachi Kings' middle-order batsmen struggled against veteran spinners Imran Tahir, who took 3-28 runs, and Shahid Afridi, 2-18, and they were bowled out for 134 with three overs left. No. 1-ranked Twenty20 batsman Babar Azam contributed only 13, out to a splendid diving catch by Mohammad Ilyas, running in from deep square leg.