He also threatened to quit if President Trump were to override him and insist on indulging Putin's request to have Russian agents interview Michael McFaul, the ambassador to Russia during the Obama administration - after Sarah Huckabee Sanders said the administration was open to the request.

Asked by Holt if he'd ever threatened to quit, Wray said, "I'm a low-key understated guy but that should not be mistaken for what my spine if made of -- so I'll just leave it at that."