He started playing football for Bedale FC after going through high school at Bedale High School. In June 1988 Grayson began his career with the club he had supported as a boy, Leeds United. At Leeds he played as either a defender or midfielder, however, he did not manage to become a first-team regular, playing just twice in four years. He signed for Leicester City in March 1992 and went on to make 229 appearances in five years. During his time at Filbert Street the team won the League Cup in 1997, with Grayson scoring the goal against Wimbledon which put them in the final, and was voted the club's player of the season in the same year.