He married Lady Mary Berkeley, daughter of George Berkeley, 1st Earl of Berkeley and his wife, Elizabeth Massingberd. Their only surviving child, Lady Mary Grey, was born about 1678. In 1682 Grey achieved notoriety for being found guilty of seducing his wife's sister, Lady Henrietta Berkeley.
The following year he was arrested for involvement in the Rye House Plot but escaped from the Tower of London in July. He later became one of the leaders of the Monmouth Rebellion, landing with Monmouth at Lyme Regis in June 1685. Being in command of the cavalry, its defeat on two occasions was probably caused by his cowardice, possibly even by his treachery. He was taken prisoner and condemned for high treason, but he obtained a pardon by freely giving evidence against his former associates, and was restored to his honours in June 1686.
