During the Italian War of 1542–1546, Grey was a commander in the expedition against France in 1544, under John, lord Russell, and assisted in the siege of Montreuil.

Upon letters from Guînes, however, the king, Henry VIII, ordered Grey to remain in command of his army, while Surrey was sent to Boulogne.

His son described Grey's injuries in the battle: In this battle [Grey] receaved a greate wounde in the mouthe with a pyke, sutche as clave one of his teethe, strake hym thowroghe the tongue, and three fyngers deepe into the rouff of his mouthe: yet notwithstondyng hee poursued owte the chase, wheryn, whot with the aboundance of blood, heate of the weather, and dust of the press, hee had surely been suffocated had not the Duke of Northehumberland, then earle of Warwyck, lyghted and lyfted a fyrcken of ale too hys head, as they passed thowroughe the Scottische campGrey recovered, and twelve days later (22 September) was appointed to complete the delivery of Hume Castle.

The protector returned to England, and Grey was left as governor of Berwick, warden of the east marches, and general of the northern parts.

After spending six weeks improving the defences, they left a garrison of 2,500 men in charge and departed, burning Dalkeith and laying waste to the country for six miles around Edinburgh while making a leisurely withdrawal to Berwick.

In July 1549, Grey was despatched at the head of fifteen hundred horse and foot into Oxfordshire, where he immediately restored order, though not without using considerable severity against the priests who had instigated the disturbances.

He then marched into the West Country, and joining the Earl of Bedford, rendered signal service in the pacification of Devon and Cornwall during the Prayer Book Rebellion.

A few days after his submission Grey received a commission to array 350 footmen and fifty demi-lancers in the counties of Middlesex and Kent, and the city of London, for the garrison of Guînes.

When war was formally declared by the French in 1557, Guînes was so poorly garrisoned that Grey reported that unless he was reinforced he was at the mercy of the enemy.

'The commander of Guînes was a fierce, stern man,' says Froude, 'and his blood being hot he blew up the church of Bushing, with the steeple thereof, and all the French soldiers entrenched there perished.'

A formidable French force having appeared at Abbeville on 22 December, Grey and Wentworth wrote an urgent joint letter to the queen.

Thirty thousand men were rapidly on their way to the coast, and on the 10th came the queen's command for the army to cross to Dunkirk, join the Duke of Savoy, and save Guînes.

The Duke of Guise transferred Grey to Marshal Piero Strozzi, who in turn passed his prisoner to the Comte de La Rouchefoucauld, and he remained in captivity until ransomed by the payment of twenty thousand crowns, which considerably impaired his fortune, and entailed the selling of his ancient castle of Wilton-upon-Wye.

Cecil wrote at this time, 'My Lord Grey is a noble, valiant, painful, and careful gentleman,' but his failure was patent.

In December 1560 Grey hosted Scottish ambassadors at Berwick and gave the Earl of Morton a personal tour of the latest fortifications.