Max Power's scuffed shot allowed Grigg to pounce and nod the Latics ahead.
Yanic Wildschut hit the bar for the hosts before Nick Powell curled a free-kick from 25 yards into the top corner to double their advantage.
Michael Jacobs' cross then caused havoc before defender Shane Duffy bundled the ball into his own net to make it 3-0.
Gary Caldwell's Latics, who announced the signing of Shaun MacDonald from Bournemouth before kick-off, earned their first win of the season in their first home game of the campaign.
Rovers' second defeat in as many league games this season, leaving them without a point under boss Owen Coyle.
Former Burnley, Bolton and Wigan boss Coyle was facing the Latics for the first time since he left the club in December 2013 after less than six months in charge.
But Wigan only compounded his side's poor start to the season, in which Rovers are bottom, having now conceded seven goals in two matches.
The visitors rarely threatened, their first shot on target not coming until the 85th minute as Wigan comfortably extended their unbeaten run against Blackburn at the DW Stadium to eight games.
Wigan Athletic manager Gary Caldwell:
"It was total dominance from us. It should have been more than 2-0 at half-time, and that was the only frustrating aspect. But, in terms of the way we played, the way we went about our business - with and without the ball - that was us at our best.
"We can take a lot from that game in terms of belief. We know that against good sides, Championship sides, at our best we're a real threat. "For the first 45 minutes, I don't think there would have been many better performances up and down the country.
"Our pressing was incredible, our energy was incredible, and we showed real belief with the way we passed the ball. "It could have been four or five at half-time."
Blackburn boss Owen Coyle:
"It doesn't matter whether it was a return to the DW, or a game against Newcastle or whoever. What was important was us trying to win a game of football.
"And, if truth be told, looking at their goals, we never gave ourselves a real opportunity to do that. "As much as Wigan had their tails up at the beginning, the first goal was from a mis-hit shot, and their lad's put a fantastic reaction header into the top corner.
"At 1-0 you've obviously got to try and find a way back in and then they score from a free-kick, when we probably should have had a free-kick that wasn't given. Jason Steele will probably feel that on another day he would have saved that."
Match ends, Wigan Athletic 3, Blackburn Rovers 0.
Second Half ends, Wigan Athletic 3, Blackburn Rovers 0.
Attempt blocked. Max Power (Wigan Athletic) right footed shot from outside the box is blocked. Assisted by Yanic Wildschut.
Stephen Warnock (Wigan Athletic) wins a free kick in the defensive half.
Foul by Sam Gallagher (Blackburn Rovers).
Attempt blocked. Yanic Wildschut (Wigan Athletic) right footed shot from outside the box is blocked. Assisted by David Perkins.
Attempt saved. Ben Marshall (Blackburn Rovers) right footed shot from a difficult angle on the right is saved in the top right corner. Assisted by Jason Lowe.
Foul by Tim Chow (Wigan Athletic).
Craig Conway (Blackburn Rovers) wins a free kick on the left wing.
Foul by Yanic Wildschut (Wigan Athletic).
Darragh Lenihan (Blackburn Rovers) wins a free kick in the defensive half.
Attempt saved. Jack Byrne (Blackburn Rovers) right footed shot from outside the box is saved in the bottom right corner. Assisted by Ben Marshall.
Offside, Wigan Athletic. Craig Morgan tries a through ball, but Michael Jacobs is caught offside.
Substitution, Wigan Athletic. Craig Davies replaces William Grigg.
Corner,  Wigan Athletic. Conceded by Gordon Greer.
Foul by Yanic Wildschut (Wigan Athletic).
Craig Conway (Blackburn Rovers) wins a free kick in the defensive half.
Ben Marshall (Blackburn Rovers) wins a free kick in the defensive half.
Foul by David Perkins (Wigan Athletic).
Substitution, Wigan Athletic. Tim Chow replaces Luke Burke.
Craig Conway (Blackburn Rovers) wins a free kick on the left wing.
Foul by Luke Burke (Wigan Athletic).
Attempt missed. Max Power (Wigan Athletic) right footed shot from outside the box is just a bit too high from a direct free kick.
Foul by Shane Duffy (Blackburn Rovers).
William Grigg (Wigan Athletic) wins a free kick in the attacking half.
Attempt missed. Alex Gilbey (Wigan Athletic) right footed shot from outside the box misses to the left following a corner.
Corner,  Wigan Athletic. Conceded by Gordon Greer.
Craig Conway (Blackburn Rovers) wins a free kick in the defensive half.
Foul by Luke Burke (Wigan Athletic).
Substitution, Blackburn Rovers. Sam Gallagher replaces Danny Graham.
Own Goal by Shane Duffy, Blackburn Rovers.  Wigan Athletic 3, Blackburn Rovers 0.
Attempt blocked. Craig Morgan (Wigan Athletic) header from the centre of the box is blocked. Assisted by Max Power with a cross.
Corner,  Wigan Athletic. Conceded by Darragh Lenihan.
Substitution, Wigan Athletic. Michael Jacobs replaces Nick Powell.
Attempt missed. Anthony Stokes (Blackburn Rovers) header from very close range is close, but misses to the right. Assisted by Craig Conway with a cross following a corner.
Corner,  Blackburn Rovers. Conceded by Stephen Warnock.
Corner,  Blackburn Rovers. Conceded by Dan Burn.
Attempt blocked. Shane Duffy (Blackburn Rovers) right footed shot from the centre of the box is blocked.
Jack Byrne (Blackburn Rovers) hits the bar with a right footed shot from outside the box. Assisted by Darragh Lenihan.
Corner,  Blackburn Rovers. Conceded by Dan Burn.
Will Grigg scored his first league goal of the season as Wigan Athletic beat Blackburn to claim their first victory since returning to the Championship.