She will become chief creative officer of the meditation app and relocate to Los Angeles for the job, which starts 4 September.
Reporting to Headspace co-founder and chief executive Rich Pierson, Pay (pictured) will lead the company's creative team which spans content, design, marketing and communications. She will oversee digital, experiential and traditional advertising as well as marketing and PR campaigns.
"Having known and worked alongside Caroline since 2005, I have long regarded her as one of the most dynamic, innovative and original creative voices on the planet," Pierson said. "As we enter an exciting era of growth and massive opportunity, there is no one I trust more with the Headspace brand than Caroline."
Pay joined Grey just last year to run the WPP agency's creative department alongside Maguire.
She was previously deputy executive creative director at Bartle Bogle Hegarty London and also worked at Mother.
Leo Rayman, the chief executive of Grey London, said: "Caroline is a force of nature and has brought her unmistakable creativity to Grey London. From Lucozade ‘Energy beats everything’ to our upcoming Met Police work, her impact is felt on every account she leads. The agency will be sad to see her leave, but I know she goes with all our best wishes as she takes on a new role in a different industry".
Maguire added: "I’m losing my work wife but it’s LA and Headspace is an amazing company. They are lucky to have her."