Gray literature is literature that is scholarly, but not peer-reviewed nor published in a "traditional" scholarly format such as a university press book or a scientific journal.
Examples of gray literature are:
Gray literature can help inform our search strategy. We can also learn from gray literature what research is currently being, as many scholars don't publish all of their work in an peer-reviewed paper until their findings are complete. We also need to recognize that not all researchers work in academia; many of them work in the corporate, nonprofit, or government sectors. By reading and understanding how research is being currently done in the field, we can get a fuller picture of our research topic(s).
A lot of grey literature can be found on the open web (the publicly accessible web that you are using when you "Google" something, as opposed to the limited access web that includes things like the databases that the library pays for). However, that does not necessarily mean that it is easy to find.
Note that AI search engines are not appropriate for systematic reviews because the searches cannot be replicated.