Despite being together for five years, Ms Cray said they had "never really done anything outside of this little relationship in Wales".
She initially applied for Race Across the World after her mum suggested doing it with her brother, but she did not think that was a good idea – so she asked Fin instead.
Mr Gough, who had never watched the show before, found out they had been selected while in the shower.
"I ran downstairs in a towel to answer the call – they said we were in, and I couldn't believe it," he said.
"You apply for something and just hope for the best but we didn't actually think we'd get on but here we are, we've done it and it was incredible."
Ms Cray said the whole experience was "so nerve-racking but also so exciting," and still felt surreal.
