Henry Grey matriculated at Trinity College in 1615, and was granted an M.A. that year, during the visit of King James I of England. He married Lady Anne Cecil, daughter of William Cecil, 2nd Earl of Exeter by his second wife, Elizabeth Drury. Lady Anne Cecil was the heiress of the borough and manor of Stamford. In March 1628, Henry was created Earl of Stamford. Just before the outbreak of the English Civil War, he was included as one of the opponents of King Charles I of England, and was made lord lieutenant of Leicestershire. After some operations around Leicester, he occupied Hereford, and when compelled to abandon the city, marched to Cornwall. At the Battle of Stratton, on 16 May 1643, his troops were beaten by the Royalists; driven into Exeter, the Earl of Stamford was forced to surrender the city after a siege of three months. He was certainly no general, and was charged with cowardice. He took no further part in the military operations of the war, although once or twice he was employed on other businesses. The ravages of the Royalists had reduced him to poverty, and distrusted by the House of Commons, he had great difficulty in getting any compensation from Parliament. After a period of retirement, he declared for King Charles II of England during a rising in August 1659, and was arrested, but was soon released. Henry Grey died on 21 August 1673; his earldom passed to his grandson, Thomas Grey, 2nd Earl of Stamford.. Who was Lady Anne Cecil's husband?