Grey got his start as an actor in Mack Sennett's Keystone Studios films. His debut was in 1916 in A Movie Star. In the early 1920s, he switched off between being the main director of features and being a second unit or assistant director. Primary directing was in such films as Among Those Present, Andy Takes a Flyer and Between Meals. The last film was released after Grey's early death, from pneumonia.