The 31-year-old singer and actress was eliminated from the hit ABC dance-off just before next week's final showdown for the mirrorball trophy.
Brandy was speechless when host Tom Bergeron announced she would be leaving the show.
"I don't know how to feel right now," she said. "It hasn't processed yet for me."
Moments later, she was shown crying.
Grey's professional partner, Derek Hough, didn't hide his surprise at Brandy's dismissal: His jaw dropped.
Brandy, who collected 57 points out of 60 on Monday, was pitted against Palin, who earned 53 points, at the end of Monday's episode for the last spot in the finals.
Judge Bruno Tonioli said he was shocked at the results.
"I'm so disappointed," he said. "Your freestyle, I was looking (forward) so much to see it."
Judges' scores are combined with viewer votes to determine which couple is ousted each week.
The Internet has been abuzz in recent days about how Palin, who has consistently landed at the bottom of the judges' leaderboard, has been able to remain on the show. Some have suggested that voters — particularly supporters of Sarah Palin — have been voting in blocs and manipulating the system.
Both Palins have denied any organized vote-getting tactics. Bristol Palin, 20, says voters support her despite lackluster performances "because I started with no experience in dancing or performing at all, and I've come a long way."
"People do connect with me because they think I'm real and I'm not typical Hollywood," she said.
Brandy said from the start of the "Dancing" season that she was aiming for the trophy.
"I hope to go to the finals," she said after Monday's performance, in comments that aired Tuesday. "In the most humblest way, that's where I feel that we belong. We've worked so hard. We want to go so bad."
Her professional partner, Maksim Chmerkovskiy, said after their dismissal that he appreciates that the show reflects the audience's tastes.
"People vote and their voices count," he said. "I love the fact that the show represents that. It represents the people's choice."
Palin, Massey and Grey will each perform their own no-rules, anything-goes freestyle dances next week. A new "Dancing" champ will be named on Nov. 23.