Abby Weed Grey, the oldest of four children, was born on October 23, 1902, to Paul Charles Weed and Emily Weed in St. Paul, Minnesota. She grew up in St. Paul, attending both elementary and high school there. In 1920, Grey headed off east where she attended Vassar College, a private all women's college in Poughkeepsie, New York. After graduating in 1924, Grey spent the next few years traveling abroad with a college roommate to Riga, Latvia, and Paris, France. Following her return from Paris in 1926, Grey started teaching fifth grade in a private school for girls in Kansas City. It was at this time that she met Lieutenant Colonel Benjamin Edwards Grey. In 1928 she became engaged and a year later married Benjamin Grey. In 1947 they purchased their first home, the family cabin in Deer Lake, Minnesota. They moved between Minnesota and Salt Lake City, Utah. In 1956 Ben died of cancer in St. Paul, Minnesota.

After Ben's death, Abby moved back to St. Paul, Minnesota. Before leaving she established the annual Benjamin Edwards Grey Memorial Lecture in poetry as part of the Summer Writers' Conference at the University of Utah.

In 1960, after being widowed for four years, Abby Grey took her first trip around the world with a group of thirteen women to Japan, Hong Kong, Thailand, Cambodia, India, Kashmir, Nepal, Pakistan, Iran, and Israel. During her trip, Grey met with local artists and collected contemporary art to be shown in the United States.

One year later Grey established The Ben & Abby Grey Foundation, Inc., founded for the encouragement of art through the assembling of international collections of art for cultural exchange programs. Also in 1961 she founded the "Minnesota Art Portfolio" exhibit (MAP) as an opportunity for artists to see original works by their Western counterparts. She met with Malcolm Lein, the director of the St. Paul Art Center, and selected Minnesota artists' works to bring on a trip to Spain, Greece, Italy, Turkey, and Iran. Through the United States Information Service (USIS) and the People-to-People Program, the exhibit traveled throughout the Middle East and the Mediterranean for two years. During her trip to Iran with MAP, Abby met Bishop Hassan Dehqani-Tafti of St. Luke's Church while attending Anglican services.

In 1961, Abby Grey met Iranian artist-sculptor Parviz Tanavoli. The following year the Grey Foundation provided him a grant for six months as a visiting artist at the Minneapolis School of Art. He remained as a sculptor/instructor on staff for the following two years. In June 1964 Tanavoli returned to Iran with the gift of a bronze foundry for the University of Tehran given by the Grey Foundation.

Throughout the rest of the 1960s and early 1970s Grey initiated many projects. These included "Fourteen Contemporary Iranians" (1962-65), which toured American cities, as did "Turkish Art Today" (1966-70), which also traveled to Tehran, Iran. Communication through Art, comprised of three exhibitions of American work, opened simultaneously in 1964 in Istanbul, Tehran, and Lahore and traveled for five years in the eastern Mediterranean, Asia, and eastern Africa. This program, which complemented the goals of USIS, was accompanied by books and catalogues representing the American art scene. Grey also sponsored the American section of the India Triennial of Contemporary World Art in 1968. Two years later she co-sponsored it with New York's Museum of Modern Art. In 1972, "One World Through Art," an exhibition of 1,001 works from Grey's collection, was shown at the Minnesota State Fair Grounds.

As Grey's collection grew, she sought a place to exhibit her collection and share it with other people. At first, Grey looked for a home for her art in her own locality. The University of Minnesota was ruled out because the gallery space available was inconvenient and the school administrators would have run the gallery. Grey also looked at her alma mater, Vassar College, but finally chose New York University, because it gave her the flexibility that she wanted. Also, since her collection was a unique, New York City seemed the ideal place to house it. The Ben and Abby Grey Foundation, founded for the encouragement of art, donated one million dollars to NYU and in the spring of 1975, the Grey Art Gallery and Study Center was completed.

Four years later, Grey again donated money to NYU for an art history study center that was built on the third floor of main building. In addition to the Gallery and Study Center, Grey provided the funds to renovate the NYU undergraduate art history classrooms, auditorium and faculty offices.

By 1979, Abby Grey had made nine trips to Asia and had collected over 600 artworks from artists in Egypt, Greece, Iran, India, Japan, Turkey, Pakistan, and her hometown of St. Paul, Minnesota.

On June 2, 1983, Abby Weed Grey died of cancer in St. Paul at the age of 80 years.

Throughout her life, as a patron to the arts, Grey served on The Minnesota Society of Fine Arts (the governing body of the Minnesota Institute of Arts) Board of Trustees from 1967-73 and on the Minneapolis College of Art and Design's Board of Overseers from 1964 until her death. She established Abby Weed Grey scholarships at the College as well. At the Walker Art Center she endowed the Grey Fellowship in Museum Studies. At Hamline University she helped sponsor symposia in Near Eastern Studies and has been a benefactor to St. Catherine's College and the St. Paul Academy-Summit School. She was a member of The Women's Club of Minneapolis and The Cosmopolitan Club of New York.