Trim the part of the mouthguard that reaches to the back of the mouth, above the molars.
Next, when using the mouth guards, focus on breathing through your nose.
If these don't work, ask a dentist how to get around gag reflex. They have to deal with this all the time.
Do as possum says. I always trim my mouthguard about a centimeter at the ends. I get the gag reflex too.
You might want to consider trimming off a little of the two back sides of your mouthpiece to help resolve this problem. You have to be careful how much you trim away though because you want your back molars to have adequate protection. If that does not resolve the problem consider switching to a different mouthpiece or maybe even getting one fitted by your dentist. Please don't tell me though that you bought a mouthpiece and have not fitted it and are using it as that will cause almost anyone to gag. They make them bigger and will shrink when fitted and if you have not done that then most everyone tends to gag on them.
I have a really horrible gag reflex and when I fight people I feel like throwing up! Which really throws me off, does anyone else have this problem? I can't fight without a mouthguard :[ its probably best I do wear one though.
Thank you in advance :D have an awesome day!