He was anxious to command a regiment; when Robert Devereux, 2nd Earl of Essex went to Ireland as Lord Deputy in March 1599, Grey was one of his followers, and received a commission as colonel of horse.
In a small engagement with the Irish rebels fought in June he charged without directions from Southampton, who was general of horse and his superior officer.
The disgrace rankled in Grey's mind, and in May 1600 he abandoned Essex in Ireland, and with Sir Robert Drury (1575–1615) took a small troop of horse to serve the United Provinces in Flanders.
When at the opening of the trial his name as commissioner was read out in court by the clerk, Essex, according to an eye-witness, laughed contemptuously and tugged Southampton by the sleeve.
On the death of Elizabeth (24 March 1603) Grey attended the hasty meeting of the council, at which it was resolved to support the claim of King James VI of Scotland.
A chance meeting with Southampton, who had been released from the Tower of London, in the audience-chamber of Queen Anne of Denmark at Windsor in June 1603, may have intensified his dislike of the new regime.
Grey's friend, George Brooke, Lord Cobham's brother, was similarly discontented, and had fallen in with William Watson, a secular priest, Sir Griffin Markham, and other Catholics.
Grey allowed Brooke to introduce him to Markham and his allies and apparently assented to the desirability of forcing a petition for general toleration on James's notice.
Coke drew up an abstract of treasons in which Grey was stated to have engaged in bringing together a hundred gentlemen of quality for the purpose of seizing the king.
Grey had declined to beg for his life, but after his return to the Tower, he wrote to thank the king for his clemency, and presented petitions subsequently for his release.
Grey is said to have been kept subsequently in more rigorous confinement, on the grounds of a relationship with one of the women attending of Lady Arabella Stuart, a fellow prisoner.
Of the family estates, Wilton Castle, on the River Wye, had been alienated before the attainder of 1603 to Grey Brydges, 5th Baron Chandos.