Grey was born in Chicago. She grew up in foster care. Grey, a trans woman, stated in an interview, "I knew as early as 4 that I wanted to be a girl," but didn't know how to discuss this with her foster parents, stating "In the African‑American community, this stuff is not even up for discussion." After graduating from community college, Grey initially came out to her foster parents as gay. They were reluctant to accept her sexuality. Once she told them she was transgender, they threw her out of the house. She moved from Chicago to Los Angeles, and lived in an LGBT homeless shelter until she saved enough money to get her own place. She attended California State University Northridge and studied theater.
Grey moved to Los Angeles with the hopes of beginning a career in singing or acting. In 2016, she was cast as Elizah Parks in the third season of Transparent. Grey played a troubled foster youth living in South Central Los Angeles, California who calls Maura, played by Jeffrey Tambor, on the LGBT suicide hotline for help. The season went on to win the GLAAD Media Award for Best Comedy Series and later earned seven Primetime Emmy Nominations in 2017. Grey also guest-starred on Season 2 of the CBS TV medical drama Code Black as Beth Jensen a young queer woman battling abdominal pains. She then guest-starred on Season 4 of the Comedy Central series Drunk History where she portrayed gay rights activist Marsha P. Johnson. Upon its release, the episode trended on Facebook for two days and was nominated for a GLAAD Media Award for Outstanding Individual TV Episode. The same year the episode was nominated for two Primetime Emmy Awards. Grey was even considered for an Outstanding Guest Actress in a Comedy Series nomination. On June 3, 2016, it was announced that she was cast alongside Michael K. Williams and Phylicia Rashad to play trans activist and pioneer Seville Anderson in the new ABC mini-series When We Rise. In the fall of 2016, she was cast in a recurring-guest role on Chicago Med, in which she plays Denise, the older sister of head charge nurse Maggie Lockwood.
She appeared as a guest star on the legal drama Doubt in 2017 with co-star Dule Hill. Grey played Delilah Johnson, a woman on trial for the murder of a famous athlete. The storyline was based off the real life story of CeCe McDonald. As a singer, Grey opened for singer-songwriter Zara Larsson in October 2016. As well as completed a 12 city summer music tour the same year. In 2017, transgender actors and actresses including Grey (with the help of GLAAD and ScreenCrush) were part of a filmed letter to Hollywood written by Jen Richards, asking for more and improved roles for transgender people. In the fall of 2018, it was announced that she would star as Gossamer Bryant in the new coming of age drama Gossamer Folds alongside Shane West, Yeardley Smith, and Sprague Grayden. The drama tells the story of a friendship between a black midwestern trans woman and a 10 year old kid Jackson Robert Scott in 1980s Kansas City. Grey landed her first national print campaign in 2019 with Absolut to commemorate Pride and 38 years of acceptance with the brand. In January 2019, Grey reprised her role as Elizah Parks on Transparent for its fifth and final season set to premiere later this year on Amazon Prime.