There are multiple artists with this name:
1) The Grey, a band from Ottawa, Ontario, Canada is melodic and experimental post-rock quartet signed to Lovitt Records. Musical influences for the band include: Fugazi, the Jesus Lizard, Seaweed, Drive Like Jehu, and Juno to Tom Petty, The MC5, Neil Young, and Nick Cave.

Performing together since 2003, members include former members of the bands Shotmaker, Three Penny Opera, & Buried Inside
Current lineup:
Matt Deline (guitar/vox)
Hayden Menzies (percussion)
Chuck Saso (guitar/back vox)
Luke Rashotte (bass/vox).
Former members:
Steve Martin of Buried Alive
Myspace: http://www.myspace.com/thegreymusic
Label Site: http://www.lovitt.com/artists.php?artists_id=43
2) The Grey are a UK-based instrumental post-metal band.