On 30 January 1446 in Hatfield, Herefordshire aged six years old, Anne was married to Henry Holland, 3rd Duke of Exeter (1430–1475).

He fled to the Kingdom of Scotland after the battle, then joined Margaret of Anjou, queen consort of the Lancastrian King Henry VI, in her exile to France.

Grey subsequently married Cecily Bonville, 7th Baroness Harington, another rich young heiress, by whom he had issue.

A monumental brass in memory of Anne of York and her husband Sir Thomas St. Leger survives on the east wall of the St Leger Chantry inscribed as follows: "Wythin thys Chappell lyethe beryed Anne Duchess of Exetur suster unto the noble kyng Edward the forte.

And also the body of syr Thomas Sellynger knyght her husband which hathe funde within thys College a Chauntre with too prestys sy'gyng for ev'more.

The wych Anne duchess dyed in the yere of oure lorde M Thowsande CCCCl xxv" The arms above Anne show her paternal arms of the Dukes of York: in the dexter half the royal arms of England, emphasising their descent from Lionel of Antwerp, 1st Duke of Clarence (1338–1368), third son of King Edward III (on which basis the House of York claimed the throne), who married Elizabeth de Burgh, 4th Countess of Ulster (1332–1363).