Grey was also romantically involved with actors Michael J. Fox and Johnny Depp and journalist George Stephanopoulos. She married actor/director Clark Gregg on July 21, 2001. They have a daughter Stella, born December 3, 2001. They lived in Venice, California. The couple co-starred in the Lifetime movie "The Road to Christmas" in 2006. On July 3, 2020, Grey and Gregg announced they had separated amicably on January 18, 2020, and were in the process of divorcing. Their divorce ruling was issued that November and became official on February 16, 2021.