Allow me to try to provide the simplest explanation of why the gradient is a covariant vector.
By definitions, the components of a covariant vector transform obey the law :
$$ \overline A_i = \sum_{j=1}^n \frac {\partial x^j} {\partial \overline x^i} A_j \qquad \qquad (1) $$
and the the components of a contravariant vector transform obey the law :
$$ \overline A^i = \sum_{j=1}^n \frac {\partial \overline x^j} {\partial x^i} A^j \qquad \qquad (2)$$
If the components of gradient of a scalar field in coordinate system $ \Bbb {\mathit {x_j}} $ , namely $ \frac {∂f} {∂x_j} $ , are known, then we can find the components of the gradient in coordinate system $ \Bbb { \overline { \mathit {x_i}}}$, namely $ \frac {∂f} {∂ \overline x_j} $, by the chain rule:
$$ \frac {\partial f} {\partial \overline x_i} = \frac {\partial f} {\partial x_1} \frac {\partial x_1} {\partial \overline x_i} + \frac {\partial f} {\partial x_2} \frac {\partial x_2} {\partial \overline x_i} + \cdot\cdot\cdot+ \frac {\partial f} {\partial x_n} \frac {\partial x_n} {\partial \overline x_i} = \sum_{j=1}^n \frac {\partial x_j} {\partial \overline x_i}\frac {\partial f} {\partial x_j} $$
Obviously $ \quad \frac {\partial f} {\partial \overline x_i}=\overline A_i \quad $ , and $ \quad \frac {\partial f} {\partial x_j} = A_j \quad $, then we get the equation same as $ (1) \quad $
Therefore, the gradient is a covariant vector.