The "Dirty Dancing" icon and Hough beat out Bristol Palin and Kyle Massey and their partners for the Season 11 honor.
"I didn't think I was going to compete tonight and I'm really glad I did," Grey tearfully said upon learning her fate.
The actress injured her knee earlier this month.
Hough also led celebrities Nicole Scherzinger and Brooke Burke to victory in previous seasons of "Dancing."
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