Newey signed a one-year contract with Grimsby Town in June 2005 and was one of the first new signings under Grimsby's new boss at the time, Russell Slade. He made 43 league and cup appearances for Grimsby in the 2005–06 season as Grimsby challenged for promotion only to lose out in the play-off final. Newey managed to keep down a regular spot at left back, despite having stiff competition from veteran Gary Croft. Slade departed Blundell Park at the end of the season, but new manager Graham Rodger convinced Newey to sign a new three-year contract with the club in the summer of 2006. Grimsby struggled in the new season, and Rodger was replaced by Alan Buckley. Newey continued to keep his place and he made a further 46 league and cup appearances in the 2006–07 season. In the 2007–08 campaign, Newey became the club's interim captain as veteran Justin Whittle spent the majority of the campaign on the substitute bench. That season, he was part of the squad that reached the final of the Football League Trophy at Wembley Stadium. Grimsby lost the game 2–0 to the MK Dons.