The Cornell University library defines grey literature as
...Literature produced by individuals or organizations outside of commercial and/or academic publishers. This can include information such as government reports, conference proceedings, graduate dissertations, unpublished clinical trials, and much more. The sources you select will be informed by your research question and field of study, but should likely include, at a minimum, theses and dissertations.
Grey literature is important for an evidence synthesis project as the aim is to synthesize all the available work that is applicable to your specific research question. While not peer-reviewed, grey literature represents a valuable body of information that is critical to consider when synthesizing and evaluating all available evidence.
NDLT is a free international resource for theses and dissertations.
CRL is a resource for institutions outside of the U.S. and Canada.
The ANZCTR is an online register of clinical trials being undertaken in Australia, New Zealand and elsewhere.
The US registry for clinical trials. Includes new, ongoing, and completed human clinical trials both in the US and countries around the world.
The World Bank now makes all of their publications openly available online.
Grey Matters is an online manual that provides a thorough list of sources for grey literature in medicine and a helpful checklist to help systematize your process. (Requires free account)