His efforts for Queen and county were recognised and the completion of his court duties noted when another cousin, James I, four days before his coronation, raised him to the peerage on 21 July 1603 as Baron Grey of Groby, Leicestershire.
As the new Lord Grey of Groby, aged 58, he took up residence at Bradgate and devoted most of his energies to strengthening his family's position in the County.
This included reviving the feud and intense competition between the Greys and the Hastings earls of Huntingdon which had enlivened and divided Leicestershire for much of the early sixteenth century.
Henry and Anne had four sons and two daughters including: Grey died at Bradgate House on 26 July 1614, newly widowed, and was buried in the family chapel there.
[1] The arms of the head of the Grey family are blazoned Barry of six argent and azure in chief three torteaux gules.