It is believed that rat-catcher Peter Medlicott, 33, shot the police constable before turning his gun on himself.
In a statement the IPCC confirmed that it had been asked by West Mercia police to conduct a review of the contact officers had with Medlicott prior to the Shropshire shooting and said it would also examine how he came to be in possession of various firearms.
Detectives have already revealed that the .222 calibre rifle that is believed to have been used in the New Park Road shooting was "legally held" by the suspect and used for his pest control work.
It has now emerged that Medlicott also had previous contact with police on April 10th, when he was arrested for assault.
Outlining the remit of its review, the IPCC said in a statement: "An independent and objective examination of the police contact with Medlicott in the period prior to the shootings and a review of the circumstances in which he came to hold various firearms will be the focus of our work."
Commenting on the circumstances surrounding the probe, West Mercia police commissioner John Crawley said: "Following the horrific events that unfolded on Sunday the IPCC has been in continuous contact with West Mercia constabulary to agree how, working together, we can best ensure that any lessons for the future are learned."
He added that it was a "terrible sadness" that PC Gray had been lost to the police service.
"It highlights the very real risks that armed officers – all of them volunteers to serve in this capacity – face on our behalf," Mr Crawley stressed.
Paying tribute to PC Gray on Monday, West Mercia's chief constable Paul West revealed that the officer had received five police commendations during his four years of service with the force.
The married father of two, who had been involved in a previous armed response incident in Shrewsbury which was referred to the IPCC, was praised by Mr West for his "dedication and commitment to duty".
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