He was a son of George Grey by Margery, daughter of Gerard Salvaine of Croxdale.
George was the apparently the only son of Anthony Grey of Brancepeth, a son of George Grey, 2nd Earl of Kent, by his second wife Katherine (or Katharine or Catherine), daughter of William Herbert, 1st Earl of Pembroke.
A priest in the Church of England, Grey was rector at Aston Flamville and later Burbage.
Grey married Magdalene, daughter of William Purefoy of Caldecote by Catherine (or Katherine) Wigston.
Burke's Landed Gentry mentions his wife having a sister named Dorothy Purefoy who married Roger Dudley and was mother to Thomas Dudley, Governor of Massachusetts, however, other sources identify Susanna Thorne as the mother of Thomas, and Susanna's mother as Mary Purefoy.