Definitions of grey literature vary, but it is generally accepted to mean any literature that is not formally published in conventional and established formats, such as books or journal articles. Examples of grey literature might include conference proceedings, working papers, reports from research groups, websites, pre-prints etc.
It will depend on the purpose and scope of the review whether or not to include grey literature. Searching for grey literature can be a time consuming process, as you may need to search in many different places to find relevant material. Depending on your topic and available time, you may decide to search all or a limited range of grey literature. You may also need to record grey literature searching and results in a different way, and separately from other database searching.