Grimm was originally the familiar to a young witch, and they were attacked when they were still just boys. Despite the fact that he did everything he could to protect his witch, Grimm ultimately failed to protect him, which resulted in both their deaths. Hell is based on a soul's guilt, which meant that the familiar's soul went straight to Hell where he was tortured for centuries with his failure. 

He eventually was freed from Hell and found himself wandering Earth for the first time in centuries, inexplicably drawn to a particular place, a particular woman. In Los Angeles, he found his new witch: Sima Morningstar. Since he was still virtually a child, Sima was less of a master and more of a mother to Grimm. She taught him about the modern world he found himself in and helped him heal from what he'd been through in Hell.