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On June 30, 2000, President Bill Clinton nominated Gregory to a seat on the United States Court of Appeals for the Fourth Circuit that had been vacant for close to a decade since it had been created (the Senate had never acted on Clinton's previous nominee to that seat, J. Rich Leonard). After the Senate declined to take up Gregory's nomination, and the 2000 presidential election was already over, Clinton installed Gregory on the Fourth Circuit on December 27, 2000, via a recess appointment, which would have lasted only until the end of the 2001 Congressional session. However, he was renominated by newly elected President George W. Bush on May 9, 2001.
The Senate confirmed Gregory on July 20, 2001, by a 93–1 vote, with Trent Lott of Mississippi casting the lone dissenting vote because he objected to Clinton's use of his recess appointment power. Gregory was the first judge nominated to the Fourth Circuit by Bush and confirmed by the United States Senate and is the first black judge to serve on the Fourth Circuit. He received his commission on July 25, 2001. Gregory became chief judge on July 8, 2016. and served a seven-year-term through July 8, 2023.