The ancient Grey Mountains were a series of mountains which continue the line of the Blue Mountains as the western edge of Endor, but on the southern half of the continent. Their position mirrors symmetrically the Yellow Mountains in the east. This range was created when the Valar thrust Middle-earth eastward to give more protection to Valinor.
Since no maps of the entire world exist after the First Age, it is unknown if this mountain line still existed later. In any case they do not appear in the stories.