He served in Cambridge during the winter months and lived most of the year in the town of Ampthill, which put him near Houghton Conquest.
His wife survived him for five years, and, after her death, a large portion of Grey's papers were purchased by John Nichols.
Grey was an extensive collector of pamphlets from the Republican side in the English Civil War, and he used this reading to combat, often with great hostility, Puritan historians and ministers.
In 1723, Grey also began countering historians whose accounts of the Civil War praised the Republican side.
He produced a volume reproducing many of the sermons of Puritan ministers during the Long Parliament in A Century of Eminent Presbyterian Preachers.
Because of his elaborate background knowledge of the period of the Civil War, Grey's edition featured a vast array of notes and other apparatus to make the identifications in the poem explicit and to portray Butler's targets in the most unflattering light.