Grey was the second son of Henry Grey, 1st Earl of Stamford and his wife Lady Anne Cecil, daughter of William Cecil, 2nd Earl of Exeter. He was the younger brother of Thomas Grey, Lord Grey of Groby.^[1]

He was likely educated at home as little is known about his education. He married Anne, daughter and co-heir of Sir Henry Willoughby, 1st Baronet. Anne was the widow of Sir Thomas Aston, 1st Baronet. Anne inherited her father's estate at Risley Hall in Derbyshire and brought Grey connections that likely led to his early appointments to local office.^[1]

Grey served as a commissioner for assessment in Derbyshire in 1657, and was appointed High Sheriff of Nottinghamshire for 1657–58. A Royalist, in 1659, he was arrested for supporting his brother-in-law Sir George Booth's uprising against the Rump Parliament.^[1]

After the Restoration, Grey was elected Member of Parliament for Derby in 1665 in the Cavalier Parliament. He was re-elected MP for Derby in 1679 for the First and Second Exclusion Parliaments and again in 1681. In 1689 he was elected MP for Derby again and sat until 1695.^[2]

Begun in 1667, Grey's parliamentary diary continued through 25 April 1694. Originally lost, Grey's manuscript Debates of the House of Commons from 1667 to 1694 was first published in 10 volumes in 1763 after it was found, and republished most recently in 2007.^[1]

Grey died of cancer of the mouth at Risley Hall in the summer of 1702, and was buried next to Anne, who had died in 1688. He and Anne had a son, Willoughby (died 1701), and a daughter, Elizabeth (died 1721). Both his children died unmarried. His daughter was a benefactor to three schools at Risley founded by her ancestor, Sir Michael Willoughby.^[1]

• Debates of the House of Commons from 1667 to 1694: the 18th-century edition of Grey's diary. Full-text available on British History Online.