Oklahoma City Thunder (2016–2019)
On November 1, 2016, Grant was traded to the Oklahoma City Thunder in exchange for Ersan İlyasova and a protected draft pick. He made his debut for the Thunder the following day in an 85–83 win over the Los Angeles Clippers, recording six points, two rebounds, and two blocks in 18 minutes off the bench. On December 19, 2016, he scored a season-high 15 points in a 110–108 loss to the Atlanta Hawks. On February 1, 2017, he tied his season high mark with 15 points in a 128–100 loss to the Chicago Bulls.
On October 31, 2017, Grant scored 17 points off the bench in a 110–91 win over the Milwaukee Bucks. He finished 5-of-9 from the floor to record 17 points for the first time since April 1, 2016.
On July 7, 2018, Grant re-signed with the Thunder on a three-year, $27 million contract. On January 10, 2019, he scored a then career-high 25 points to go with 12 rebounds in a 154–147 double-overtime loss to the San Antonio Spurs. On March 18, he scored 27 points in a 116–107 loss to the Miami Heat. On April 10, he set a then career high with 28 points in a 127–116 win over the Bucks.