- Grey Worm: "I had no fears. I was never the biggest, never the strongest, but I was bravest always... Until I meet Missandei from the Isle of Naarth. Now I have fear."
- Missandei: "I do too."
- — Grey Worm and Missandei on their fear of losing each other.[src]
Missandei and Grey Worm have had an increasing attraction to each other since joining the service of Daenerys Targaryen. Missandei is an expert translator that knows 19 different languages who is also a de facto aide-de-camp and advisor to Daenerys, while Grey Worm is the commander of the Unsullied legions that fight for the dragon-queen.
Their growing relationship is complicated by Grey Worm's brutal training as an Unsullied: slave-soldiers and warrior-eunuchs, they are taken as babies or small boys, castrated, then put through a brutal training regime which only one out of four boys survive. The Unsullied's training regime is also meant to utterly dehumanize them so they consider themselves to be expendable, willing to fall on their swords without hesitation at the whim of their slave-masters. Not simply like other eunuchs, the Unsullied are meant to have all human emotions stripped from them.
As Grey Worm rediscovers his freedom, however, his slowly gains a sense of personhood, including growing feelings for Missandei, who sympathies with the suffering he has endured.
Missandei herself was taken in a slaver-raid when she was five years old, from her home on the island of Naath off the coast of Sothoryos. She remembers the home she lost, unlike Grey Worm who doesn't remember being taken as a baby from the Summer Islands, and the bond over the losses both endured under slavery.
Grey Worm and Missandei meet for the first time when Grey Worm is introduced to Daenerys as the leader the Unsullied have chosen for themselves. Missandei explains to Daenerys the origins of Grey Worm's name and looks at him with compassion. 
Missandei begins teaching Grey Worm the Common Tongue, so he can better communicate with Daenerys' allies. It is here where they start to form a connection.  Later in their time in Meereen, Grey Worm and some other soldiers are swimming in a nearby river, where he sees Missandei and a group of women bathing. Even though he is a eunuch, he stares at her as she bathes. She tells Daenerys about the incident, who tells her not to read anything into it, but Missandei replies that she could tell he was interested in her. After the incident, Grey Worm apologizes to Missandei, but she tells him he does not need to be sorry. He says the language lessons she gives him are precious to him. She says she doesn't remember teaching him the word precious, and he says he learned it from Jorah, implying that he has been consciously seeking out ways to better express his feelings about Missandei. She tells him how sorry she is about what happened to him, and he replies that if it had never happened then he would never have had the chance to meet her either. She says she is glad he saw her in the river, and he says he is too.
When White Rat, a member of the Unsullied is murdered in a brothel by a Son of the Harpy, Missandei asks Grey Worm why an Unsullied would visit a brothel, because all Unsullied are castrated at birth. He simply says that he doesn't know.  After fighting The Sons of the Harpy with Barristan Selmy, Grey Worm is injured, and Selmy is dead.  When Missandei comes to his bedside, Grey Worm explains how he failed Ser Barristan by letting him die, and by failing Daenerys. But then he said he feared he would die, because he would never see Missandei again. Grey Worm's words touch Missandei, and they kiss for the first time. 
Later in the season, after Daenerys is rescued by Drogon from the Sons of the Harpy, Missandei accompanies Grey Worm to a meeting with Tyrion, Daario and Jorah, supporting him both physically and emotionally. When Grey Worm expresses a wish to accompany Daario and Jorah on their quest to find Daenerys, Missandei is very concerned and says he is not strong enough to go anywhere, as he is still recovering from his wounds from the fight with the Sons of the Harpy. Grey Worm insists he would be strong enough, and Daario agrees he would be, but argues that he is needed even more here in Meereen as the people trust him. Missandei agrees and tells Grey Worm that only the Unsullied will be able to keep the peace and that if he goes then the city will fall into chaos. Her words help to persuade Grey Worm to stay in Meereen. 
Grey Worm and Missandei work with Tyrion to help run the city of Meereen during Daenerys' absence. They challenge Tyrion over some of his choices and support each other during their conflicts with him. However, they also socialize with Tyrion on a couple of occasions, and eventually they begin to enjoy his company. The three of them exchange a few jokes, and Grey Worm and Missandei smile and look fondly at each other as they do so.  Following Daenerys' return to Meereen, they continue to support her, and accompany her as she sets sail for Westeros at the end of the season. 
Grey Worm and Missandei arrive at Dragonstone with Daenerys, all travelling in the same boat.  At Dragonstone, Daenerys and her allies plan her campaign to take the Iron Throne, which includes Grey Worm leading the Unsullied in an attack on Casterly Rock. The night before Grey Worm leaves on his mission, Missandei visits him in his chambers. She asks him if he is going to say goodbye, and he says it is hard for him to say goodbye to her. She asks him why, and he says she knows why, but she is insistent that she does not, wanting him to articulate his feelings in words. He says she is his weakness, and at first she is offended, but then he explains his feelings further. He says as an Unsullied he never had any fears, he was always the bravest, until he met her, and now he understands fear, implying that he cares for her so much that the only thing he is afraid of is losing her. She says she understands that fear too. He becomes very emotional and goes foward to kiss her. Missandei undresses herself, allowing him to see her naked again as she once did before at the river in Essos, and begins to undress Grey Worm too. He hesitates when she comes to remove his trousers, because he doesn't want her to see his castration scars, but she says gently that she wants to see him, echoing their conversation after he saw her at the river. He nods and lets her remove the rest of his clothes, looking anxious as he waits for her reaction to seeing his scars for the first time. She sees them, then looks him in the eyes with tenderness, and he is relieved and happy that she does not mind. She loves him for who he is, not what he looks like. They kiss again and begin to make love. 
After Grey Worm leaves for his mission to Casterly Rock, Missandei expresses concern about what he and the Unsullied will be facing there.  Later she is worried that there has been no word from the Unsullied since then. Daenerys assures her that Grey Worm will come back to her, and Missandei says that he had better do so. Daenerys can tell something has developed between them, and asks her what happened; Missandei replies happily that many things did. Grey Worm survives his mission to Casterly Rock and by the end of the season has rejoined Daenerys and her allies, including Missandei.
|Season Three appearances|
|Valar Dohaeris||Dark Wings, Dark Words||Walk of Punishment||And Now His Watch Is Ended||Kissed by Fire|
|The Climb||The Bear and the Maiden Fair||Second Sons||The Rains of Castamere||Mhysa|
|Season Four appearances|
|Two Swords||The Lion and the Rose||Breaker of Chains||Oathkeeper||First of His Name|
|The Laws of Gods and Men||Mockingbird||The Mountain and the Viper||The Watchers on the Wall||The Children|
|Season Five appearances|
|The Wars To Come||The House of Black and White||High Sparrow||Sons of the Harpy||Kill the Boy|
|Unbowed, Unbent, Unbroken||The Gift||Hardhome||The Dance of Dragons||Mother’s Mercy|
|Season Six appearances|
|The Red Woman||Home||Oathbreaker||Book of the Stranger||The Door|
|Blood of My Blood||The Broken Man||No One||Battle of the Bastards||The Winds of Winter|
|Season Seven appearances|
|Dragonstone||Stormborn||The Queen's Justice||The Spoils of War||Eastwatch||Beyond the Wall||The Dragon and the Wolf|
In the books
There is no budding attraction between Grey Worm and Missandei in the books, given that the book version of Missandei is only ten years old - the same age as Arya Stark at the time. In spite of her age, she is incredibly intelligent well beyond her years and serves as a key advisor and aide to Daenerys, although in the TV series, she is shown to be reluctant to counsel her without prompting.
As for the plausibility of such a relationship, just because a eunuch does not feel sexual attraction, this does not prevent him from having human emotional attachments. In the books, some time after Daenerys captures Meereen, an Unsullied called Stalwart Shield is the target of a revenge killing by one of the old slaver families. Daenerys asks how this Unsullied was ambushed alone, given that they patrol the streets in pairs. She is told that Stalwart Shield went off on his own to a brothel, where he was ambushed. Daenerys is confused why a eunuch would visit a prostitute, and Grey Worm himself explains to her that "Even those who lack a man's parts may still have a man's heart." Stalwart Shield simply paid prostitutes to lay with him and hold him lovingly, to feel some sort of basic human affection after a lifetime of brutal debasement at the hands of the slave masters. David Benioff described how the Missandei/Grey Worm romance grew as the series progressed: “This evolved, frankly, because these two actors who were supposed to have quite small parts just impressed us. And then it became very interesting to us: What if there was some kind of attraction here, because it’s almost the ultimate Romeo and Juliet story. How is it possible for there to be a love story between a young woman and a young eunuch?”