Thomas was the elder son of Elizabeth Woodville and her first husband Sir John Grey of Groby in Leicestershire. Thomas became heir at a very young age to the estates of his grandmother Lady Ferrers, when his father was killed at St. Albans in 1457. It was the problems with his inheritance, and the discord between his mother and Lady Ferrers that brought Elizabeth back to her ancestral home of Grafton with her two children Thomas and Richard.

Thomas became through his mother's second marriage, stepson of Edward IV and half brother to Edward V. It was no surprise that he would achieve high office. On April 18, 1475 he was created Marquess of Dorset, he was also a Knight of the Garter and a Privy Councillor. His first married Anne of York, dowager Duchess of Exeter and sister of Edward IV. After she died without children he married Cecilia, daughter of William Bonville, 6th Lord Harington, later becoming Lord Harington and Bonville by right of his wife.

After the death of Edward IV, Dorset and his brother Richard Grey were among the supporters of their half-brother, the young King Edward V. It was when Richard Grey and Earl Rivers were escorting Edward V was on his way to London for his coronation, that Richard Grey and Earl Rivers (his brother and half-brother) were arrested on the orders of the Duke of Gloucester, and taken to Pontefract where they were executed on 25th June. Dorset saved his own life by flight. He joined the Duke of Buckingham's rebellion against Richard III. When the rebellion failed he fled to Brittany to join Henry Earl of Richmond (the future Henry VII) but was left behind in Paris when Henry returned to England in 1485. Dorset returned to England after Henry's victory at the Battle of Bosworth. He was suspected and imprisoned when Lambert Simnel revolted; he had, however, been released and pardoned, had marched into France and had helped to quell the Cornish rising, when he died on the 20th of September 1505.