From Eton, Grigg joined the British Army and was commissioned as a second lieutenant into his father's regiment, the Grenadier Guards, in 1943 during the Second World War (1939–1945). While in the British Army, Grigg served as an officer of the Guard at St James's Palace and Windsor Castle, Berkshire, and saw action as a platoon commander in the 1st Battalion, Grenadier Guards, part of the 5th Guards Armoured Brigade of the Guards Armoured Division, against the German Army in France and Belgium. Towards the end of the war, he became an intelligence officer.