Much of the Grey Knights history remains in mystery and secrecy or has been purposefully removed from archives for reasons unknown.
Via our good friends at Lexicanum
However according to legend, the Grey Knights began as a project during the final days of the Horus Heresy. The Emperor foresaw that the Heresy would likely end at such a great personal cost to himself that he would be prevented from actively defending mankind from the great threat of Chaos and its Daemons. So the Emperor set in motion a plan to form a defense against such evil. Malcador the Sigilite, closest of the Emperor’s servants, was sent to search across the Imperium for men suitable to rise to such a burden.
Malcador found twelve worthy champions; four were lords and administrators, and eight were Space Marines from both loyalist and traitor legions. These included survivors of the Eisenstein incident, Nathaniel Garro, Amendera Kendel, and Kyril Sindermann. During the founding of the organisation others would join them including Tylos Rubio, Macer Varren and Garviel Loken. Many of the Space Marines that joined the cause hailed from Legions that had turned traitor, though they themselves had remained loyal to the Emperor. Once they had been gathered, the Emperor surveyed the chosen recruits and granted both his approval and consent to proceed with the project. So the recruits split ways to go off towards separate tasks; the four lords ventured off to lay the framework of the Inquisition, whilst the Space Marines and Malcador travelled to Saturn’s moon of Titan.
Titan, through Malcador’s mystical means, had been hidden away from the ravages of the Horus Heresy. When they arrived they found a Fortress-monastery already fully prepared and stocked with everything necessary to create a new army of Space Marines including supplies of gene-seed, which is suspected to have been taken from the Emperor directly, and all the necessary armaments. The fortress was also already populated with hundreds upon hundreds of suitable recruits from across the Galaxy. Some were raw and untrained, whilst others were selected in secret from among the ranks of loyalist Legions. This new army would be a Chapter – a smaller, tighter brotherhood of Space Marines than a Legion. Malcador could no longer remain and thus he appointed Janus, one of the eight original Space Marines, to be the Grey Knights leader and take the title of Supreme Grand Master. Before leaving, Malcador cast his greatest enchantment yet; he hid Titan away from Horus in the most unlikely of places, inside the Warp itself. Titan was protected by Macro-Geller fields and sigilic rites whilst the final battles of the Heresy took place in Real Space.
When Titan eventually returned, the Second Founding was taking place. Whilst in the Warp, time had passed at a greater rate for Titan and so it had emerged not with the original eight Space Marines and their raw recruits, but with a full Chapter of one thousand fully trained Battle-Brothers. The Second Founding was being directed by the newly formed Inquisition under the control of the same lords who Malcador had selected years before. So they secretly included the Grey Knights amongst the growing list of new Chapters, designating them Chapter 666, despite there being barely 400 Chapters commissioned at the time. The Grey Knights, different from all the other new Chapters, were embedded within the Inquisition to serve as the Chamber Militant of the Ordo Malleus to fight against all things Daemonic.
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