Grey was born in Harlem, New York, the daughter of artists Allyson (née Rymland) and Alex Grey (né Velzy). Her first role was in the Broadway play The Herbal Bed. In 1999, she had a role in The Bone Collector, before starring in Snow Day (2000) and Max Keeble's Big Move (2001). She also appeared on the TV show All That. In December 2004, Grey appeared in In Good Company. After that, she starred as Tim Allen's daughter in The Shaggy Dog (2006). Her latest role was that of Penelope Bryte in 2010's My Soul to Take. She also had a brief recurring role in 2011 as Ruby on the television series House.