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.