Before his managerial career he played for Aston Villa alongside the likes of Dwight Yorke, Stan Collymore and Gareth Southgate between 1997-1999.
"My heart wants Preston to win but I also had two great years as a player at Villa as well," adds Grayson.
Simon Grayson (second right) with Lalitpur City's owners
Grayson has not managed in England since being sacked by League One Fleetwood in November 2021.
The former Leeds United and Sunderland boss spent 18 months managing Bengaluru in the Indian Super League between June 2022 and December 2023 before landing his latest job.
Grayson spoke to former England cricketer and fellow Yorkshireman Darren Gough before heading to Nepal's capital.
"Darren had been there to do some commentary and said Kathmandu, where I'm based, is a great place," adds Grayson.
"Hopefully I will come out of the experience a better person and a better coach.
"I don't want to look back in years to come and have regrets about why I didn't try something. I'm here for a life experience."
A trip to Everest base camp - used by climbers during their ascent and descent of the world's tallest mountain - will hopefully provide Grayson with at least one lasting memory.
But the 55-year-old - who has 20 years of managerial experience including promotions with Leeds, Huddersfield Town, Blackpool and Preston - has made it clear he is in the spectacular Himalayan region to work.
Despite the men's national football team being down in 175th place in Fifa's world rankings, football is popular in Nepal.
The seven-team Nepal Super League - the country's first professional franchise-based football league - is about to start its third season, with Grayson's club Lalitpur City the defending champions.
Crowds of up to 15,000 are expected to watch, starting with Saturday's derby between Grayson's side and Kathmandu Rayzrs.
Grayson (centre) has explored Kathmandu and surrounding areas on a mountain bike
Ripon-born Grayson's squad includes players from Martinique, Haiti, Bhutan and Senegal, while Jonathan Cantillana is a midfielder who plays for Palestine.
"They'll have to adapt to my Yorkshire accent," says Grayson, who has been bowled over by the charm and kindness of locals in Kathmandu - as well as the breathtaking Himalayan views, golden temples and charming hill villages.
Three days after arriving in Nepal's capital, Grayson experienced Holi - the ancient Hindu festival of colours that celebrates spring, love, and new life which is traditionally celebrated by throwing bright coloured powder over family and friends.
Nepal is home to eight of the world's 14 highest mountains - including Everest - but, while Grayson is hoping to hit new heights with Lalitpur, he is happy to give the thrill-seeking a miss.
"I travelled in a cable car to meet the owners of my new club in a hotel in the mountains," he adds.
"I wasn't looking forward to getting in a cable car and I didn't particularly enjoy it."
Grayson experienced the Hindu festival of colours, Holi, in Kathmandu earlier in March
The Nepal Super League season lasts just four weeks, with the play-off final to decide the champions on 26 April - FA Cup semi-final weekend.
Will it be Preston, 14th in the Championship table, or Aston Villa - who face Paris St-Germain in a mouth-watering Champions League quarter-final next month - at Wembley on the final weekend of April?
"I loved my time at Preston," adds Grayson, who was in charge at Deepdale between 2013 and 2017. "I had nothing but good times there and won promotion in front of around 50,000 fans at Wembley by beating Swindon 4-0 in the play-off final.
"I had no aspirations to leave but then Sunderland came knocking and it felt like one of those clubs you could help get back into the Premier League."
Grayson knows Villa fans are desperate for success.
He joined them from Leicester City in June 1997, 15 months after Villa won the League Cup by beating Leeds in the 1996 final.
Villa have not won a major trophy since but Grayson believes that could be about to change under Unai Emery.
"I have been so impressed with what he has done," he adds.
"No disrespect to Preston, but winning the FA Cup could be a big opportunity for Villa this season.
"Villa are a huge club and they will look at this game as an opportunity towards getting to the final and winning silverware.
"I'm intrigued as to how this tie is going to go."
Will Grayson be watching the action at Deepdale on television in Nepal?
"I'm still getting used to the time difference over here. We're five hours and 45 minutes ahead. But the early kick-off means I can watch it.
"Had it been later I'd have missed it - we've got training the next morning!".
Then Preston manager Grayson (left) and his former Aston Villa team-mate Steve Staunton lay wreaths on Villa Park in memory of ex-Villa boss Graham Taylor, before the Championship game between the two clubs in 2017
