In 1744, with financial assistance from his father, Grey purchased a commission as an ensign in the 6th Regiment of Foot. He soon went to Scotland with the Sixth Regiment to suppress the Jacobite Rising of 1745. Following victory there, the Sixth Regiment spent the next few years in Gibraltar. In December 1752, he purchased a lieutenancy in the Sixth Regiment. In March 1755, he formed a new independent company and became their captain. Two months later, he purchased a captaincy in the 20th Regiment of Foot (subsequently titled 'East Devonshire Regiment', and in 1881 the Lancashire Fusiliers), in which James Wolfe served as lieutenant colonel. In 1757, while with Wolfe's regiment, he participated in the unsuccessful attack on Rochefort.