From 1894 to 1897 his kinsman the 4th Earl Grey was Administrator of Rhodesia, and Grey accompanied Leander Starr Jameson on the Jameson Raid in 1895; in the aftermath of the raid, Grey served five months' imprisonment.
From 1894 to 1897 his relative, the 4th Earl Grey, served as Administrator of Rhodesia; Grey accompanied Leander Starr Jameson on the Jameson Raid in 1895; following the raid, Grey spent five months in prison.