During the troubled years of his episcopate Grey never took a leading part in public affairs. He devoted himself rather to the charge of his diocese, and still more probably to his learned interests, which were reputed to extend not only to Greek but also to Hebrew, while in his palace on Holborn he maintained the same stately establishment as that for which he had been famous on the continent. Yet there is ample evidence also of his political activity.
In the beginning of 1455, he was appointed to serve on a commission to arbitrate between the Duke of York and the Duke of Somerset, the failure of which was shown in the first battle of St. Albans in the following May. Later on, apparently in 1460, before the battle of Northampton, he again took part in an attempted reconciliation of the Yorkist leaders. At length, on 25 October 1469, he was made Lord High Treasurer, and held the seals until the following July. Grey's tenure as Lord High Treasurer occurred during the Great Bullion Famine and the Great Slump in England. On 26 August 1471 he was named first on a commission of fifteen to hold a diet at Alnwick to deal with the infractions of the truce with Scotland, and in the following March to treat with the Scots ambassadors at Newcastle-upon-Tyne on 25 April, and again on 16 May he was entrusted with a similar negotiation.
In February 1477–8, Grey's health showed signs of breaking down. After Easter, he quit his London palace for Ely, and then, as his weakness increased, he removed to his neighbouring manor of Downham. Here he died on Tuesday, 4 August 1478. On the next day his body was borne to Ely with great pomp, attended by almost all the priests of the Isle, and on that Thursday the bishop was buried between two marble pillars on the north side of Ely Cathedral, the fabric of which owes not a little to his munificence.
