Context: Following on other scientific disciplines, such as health sciences, the use of grey literature (GL) is becoming widespread in Software Engineering (SE) research. Whilst the number of papers incorporating GL on SE is increasing, there is little empirically known about different aspects of the use of GL in SE research. Method: We used mixed-methods approach for this research. We carried out an Systematic Literature Review (SLR) of the use of GL in SE. Then we surveyed the authors of the papers included in the SLR and community experts on the use of GL in SE research. Results: We systematically selected and reviewed 102 SE secondary studies that incorporated GL in SE. We identified two groups based on their reporting: 1) 76 reviews only claim the use of GL; 2) 26 reviews report the results of GL. We also obtained 20 replies from the GL users and 24 replies from the invited experts. Conclusion: There is no common understanding of the meaning of GL in SE. Researchers define the scopes and definition of GL in a variety of ways. We find five main reasons of using GL in SE. The findings have enabled us to propose a conceptual model for the role of GL in SE research lifecycle . There is an important need of research to develop guidelines for using GL in SE and for quality assessment of the literature to be included.