Zagrey is out of the unraced Grey Anatomy (Slickly), the fourth of her six foals and one of three winners. He is a half-brother to Graignes (Zoffany), third in the Gr.1 Criterium International, and to the Listed-placed Anatiya (Dariyan).

Second dam Light Step (Nureyev) won the Listed Virginia Stakes and is the dam of Nova Step (Dubawi), a dual stakes winner who took the Listed Prix Ronde de Nuit and was third in the Gr.3 Prix des Reservoirs. She is also the grandam of Neguev (So You Think), third in the Gr.3 Prix Daphnis. She is a half-sister to three stakes winners, the best of them Eltish (Cox's Ridge), winner of the Gr.2 Royal Lodge Stakes, placed several times at Grade 1 level and a sire, and the Gr.3-winning sire Forest Gazelle (Green Forest).

Third dam Nimble Feet (Danzig) was unraced and produced nine winners. She is a full-sister to Contredance, winner of the Grade 1 Arlington-Washington Lassie Stakes, and related to the multiple graded stakes winner Skimble (Lyphard).

Skimble is the dam of Skimming (Nureyev), twice a winner of the Grade 1 Pacific Classic and later a sire.

Grey Anatomy has an unraced two-year-old filly, Eepha (Siyouni).