Lady Grey is a rural village in the Eastern Cape in South Africa near the border with Lesotho. It is situated in the foothills of the Witteberg mountains, about 55 kilometers east of Aliwal North and 260 km from the capital of the Free State Province, Bloemfontein. It was founded on the farm Waaihoek purchased by the Dutch Reformed Church of Aliwal North on 30 April 1857 for the purpose of founding a new congregation, and named in honour of Eliza Lucy Grey (née Spencer), daughter of Sir Richard Spencer, and wife of Sir George Grey the Cape governor. The municipality of Lady Grey was proclaimed in 1893.
Old buildings have been restored to attract tourists and relocators.
Lady Grey attracts nature lovers, bird watchers, hikers, and fly fishing enthusiasts. Wild trout and yellowfish are found in abundance in the streams and rivers in the area.