In the first days of March, 1863, the Sixth Kentucky and the Fifth Kentucky Cavalry were  transferred to the command of Brigadier General John H. Morgan, with which it continued in service until nearly the whole of the regiment was captured during the last days of Morgan’s Ohio raid.  Soon after its assignment to Morgan’s command the regiment took part in severe engagement at Milton, Tennessee in which Colonel Grigsby was severely wounded.

Colonel Grigsby managed to evade capture during the raid and was given command of a brigade of cavalry during the retreat from Dalton, Ga.

He was later appointed as Inspector General of all cavalry of Johnston's Army until the close of the war.

He is buried at the Lexington Cemetery in Lexington, Ky.