In 1893, Greenhalge ran for Governor of Massachusetts. He was opposed for the Republican nomination by Albert E. Pillsbury, a member of the reform-oriented Mugwump wing of the party. Pillsbury was opposed by the powerful Senator-elect Henry Cabot Lodge, and Greenhalge was chosen as a relatively safe candidate against the Democrat John E. Russell. Russell was not as popular as the outgoing Democratic governor William E. Russell (no relation), and the Democrats were further hurt by the start of the Panic of 1893. Greenhalge won an easy victory. He was the state's first foreign-born governor.