George Grey was born on April 14, 1812, in Lisbon.
He was the only son of Bvt. Lieutenant-Colonel George Grey, of the 30th (Cambridgeshire) Regiment of Foot, who was killed at the Battle of Badajoz in Spain just a few days before. His mother, Elizabeth Anne née Vignoles, on the balcony of her hotel in Lisbon, overheard two officers speak of her husband's death and this brought on the premature birth of the child. She was the daughter of a retired soldier turned Irish clergyman, Major later Rev. John Vignoles. Grey's grandfather was Owen Wynne Gray (c. 1745 – 6 January 1819). Grey's uncle was John Gray, who was Owen Wynne Gray's son from his second marriage.