Grey was educated at the British School of Brussels, St Alban's School, and Windsor Boys School, and then studied politics, philosophy, and economics at Oxford University. He was an active member of the National League of Young Liberals and was elected to their National Executive Committee in 1984. He was one of the key members of the Young Liberal Green Guard.

After training on the Eastern Daily Press in Norfolk, Grey worked successively for the Sunday Times, London, as Home Affairs Correspondent, South Asia Correspondent, European Correspondent, and as editor of the paper's investigative unit, the Insight team.

In the summer of 2003, Grey began investigating reports of the CIA's secret system of extraordinary renditions (transfer of terror suspects to foreign jails, where many faced torture). The results of his research were first published in the New Statesman in an article headlined 'America's Gulag' in May, 2004.. After finding how to track the movements of alleged CIA planes used for rendition, he published the first flight logs of these jets in the Sunday Times in November 2004. He went on to contribute to several front page news articles to the New York Times about rendition and security issues, as well as to Newsweek, CBS 60 Minutes, Le Monde Diplomatique, and BBC Radio 4's 'File on Four'. He presented television documentaries on the CIA rendition program for Channel 4's Dispatches Program and PBS Frontline World.

In 2005 he received the Amnesty International UK Media Award for best article in a periodical, for his New Statesman article.

In 2006, he received the Joe and Laurie Dine award for Best International Reporting in any medium dealing with human rights from the Overseas Press Club of America. The citation described his book, Ghost Plane, as

the consummation of years of investigation, not only by the author, but, as he acknowledges, the informal global network of journalists with whom he collaborated to reveal the murky world of rendition, extraordinary rendition and proxy torture. By tracing the landings and takeoffs of clumsily concealed CIA flights, his work not only demonstrates concerned investigative journalism in action, it lifts the lid on a global gulag of prisons and torture chambers, assembled by US officials in defiance of domestic and international human rights law.

In a broadcast on the BBC World Service on December 30, 2009, reviewing the last ten years of journalism, author and campaignerHeather Brooke described Grey's investigation of the CIA rendition flights as the "journalistic scoop of the decade."

In 2009 Grey set up the Investigations Fund , who are linked to Bureau of Investigative Journalism.

In 2009, he also published his second book, Operation Snakebite, an account of the war in Helmand, Afghanistan, centring on the December 2007 operation by British, American and Afghan troops to recapture the town of Musa Qala, a battle which Grey reported as an embedded reporter for the Sunday Times of London. A Channel 4 Dispatches film reported by Grey titled "Afghanistan: Mission Impossible" was short-listed for a Royal Television Society award for independent film-maker of 2009.

In 2009 and 2010, he returned to Afghanistan, reporting for, among other publications, the Sunday Times, Le Monde Diplomatique, and Channel 4 News. The Channel 4 film reported on criticism the United States was arming 'militias' to take on the Taliban.