- She was awarded the CBE (Commander of the Order of the British Empire) in the 1973 Queen's New Year Honours List and the DBE (Dame Commander of the Order of the British Empire) in the 1988 Queen's Birthday Honours List for her services to dance.
- She was awarded the CH (Member of the Order of the Companion of Honour) in the 2017 Queen's Birthday Honours List for her services to dance in West Sussex, England.
- Her talent was recognised by Ursula Moreton and Ninette de Valois, who offered her a scholarship for four years at the age of ten, with the option of joining their dance company for a further four years.
- She began dance classes at the age of four while attending Sherbourne Preparatory School, and by age eight was being taught by Phyllis Bedells.
- She was the subject of This Is Your Life in April 1974 when she was surprised by Eamonn Andrews at the London Festival Ballet's Donmar rehearsal studios in London's Covent Garden.
- In August 1941, she was taken into the company at the age of fourteen and joined them during a provincial tour, at Burnley. Her first appearance with the company was in the corps de ballet of Le Lac des Cygnes.
- On her fifteenth birthday, Dame Ninette de Valois gave her an inscribed copy of Gordon Anthony's book on Dame Margot Fonteyn and the opportunity of dancing Odette-Odile in the full-length Le Lac des Cygnes.
- By the age of nine she had become the star pupil of her school, had been presented a silver medal by Tamara Karsavina and had passed all the examinations of the Royal Academy of Dancing it was possible for her to take.
- In September 1997 she was presented with the Queen Elizabeth II Coronation Award by Dame Antoinette Sibley. The Award is given by the Royal Academy of Dancing to individuals in recognition of great contribution to the world of ballet.
- Her first solo role was as one of the Blue Skaters in Frederick Ashton's Les Patineurs. Her first lead role was as the Serving Maid in The Gods Go A-Begging "with a charm and style remarkable for a child of fourteen and a half".
- From 1957 until the mid-1960s, Grey was an international guest ballerina across Europe, South America, Australasia, the Far East, the United States and Canada.
- She began to attend the Sadler's Wells School in 1937 where her teachers were Ninette de Valois and Vera Volkova.
- In 1957, she became the first English dancer to appear as a guest ballerina with the Kirov and Bolshoi Ballet.
- In 1942, Robert Helpmann created the first role for her in his second ballet The Birds where she was The Nightingale, and in April 1943, she created her first dramatic role as Duessa in Ashton's ballet, The Quest, which was based on Edmund Spenser's The Faerie Queene.
- Grey was the first Western guest artist to dance with the Bolshoi Ballet (1957-1958), and to appear with the Peking Ballet and Shanghai Company (with a Chinese partner) in 1964.
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