Sir Henry was the son of Richard de Grey (born Thurrock, Essex, c. 1140 and married c. 1157) and probably a great-grandson of Anchetil de Greye of Rotherfield Greys in Oxfordshire. He was certainly the ancestor of several English noble houses with the surname Grey or Gray.
In 1195 he had been granted the Manor of Thurrock in Essex which later became known as Grays Thurrock (or simply Grays), which he bought from Isaac the Jew and his son Josce. Before 1201 he was also granted the Manor of Codnor, Derbyshire, and in 1216 was also granted by King Henry III of England the Manor of Grimston in Nottinghamshire.
Marriage and issue 
Around 1199 he married at Thurrock, Essex, Isolda Bardolf (Hoo, Kent, c. 1168 - bef. 18 June 1246), also known as Iseaude, sister and co-heiress of Robert Bardolf of Codnor in Derbyshire, and daughter of Hugh or Robert Bardolf of Codnor, Derbyshire (son of Hugo Bardol, born in 1125), and Isobel Aquillion, by whom he had these sons:
- Sir Richard de Grey of Codnor Derbyshire, ancestor of the Barons Grey of Codnor
- Sir John de Grey of Shirland Derbyshire, ancestor of the Barons Grey of Ruthyn
- William de Grey of Cavendish, Suffolk, of Landford, Nottinghamshire and of Sandiacre, Derbyshire, ancestor of the Greys of Merton, Norfolk and a remote ancestor of the Barons Walsingham
- Robert de Grey, ancestor of the Barons Grey of Rotherfield
- Henry de Grey
- Hugh de Grey (born Chillingham, Northumberland, c. 1203), father of John de Grey, born in Scotland, and grandfather of Thomas de Grey of Heton (Heton, Northumberland, circa 1266 - Angus, Scotland, 1310), whose son Sir Thomas de Grey of Heaton (circa 1297 - bef. 12 March 1343/1344) was taken prisoner by the Scots at Bannockburn and married circa 1327 Agnes (possibly Agnes de Beyle, born Heton, Northumberland, c. 1301), being the parents of Sir Thomas Grey
- unknown de Grey, father of Eve de Grey who married Walter Beke of Eresby Lincolnshire and was ancestor of the Barons Willoughby de Eresby
- Walter de Grey, Archbishop of York 1216-1255
After his death his widow remarried Reynold de Meurdre.
- L. G. Pine, The New Extinct Peerage 1884-1971: Containing Extinct, Abeyant, Dormant and Suspended Peerages With Genealogies and Arms (London, U.K.: Heraldry Today, 1972), p. 136.
- Charles Mosley, editor, Burke's Peerage, Baronetage & Knightage, 107th edition, 3 volumes (Wilmington, Delaware, U.S.A.: Burke's Peerage (Genealogical Books) Ltd, 2003), volume 2, p. 1665.
- G.E. Cokayne; with Vicary Gibbs, H.A. Doubleday, Geoffrey H. White, Duncan Warrand and Lord Howard de Walden, editors, The Complete Peerage of England, Scotland, Ireland, Great Britain and the United Kingdom, Extant, Extinct or Dormant, new ed., 13 volumes in 14 (1910-1959; reprint in 6 volumes, Gloucester, U.K.: Alan Sutton Publishing, 2000), volume II, p. 89.