I work for Ingram Micro, an authorized Sony and Nikon Digital Imaging distributor.
Companies such as Sony and Nikon do not let just anyone resell their equipment. In order to be an authorized Sony or Nikon reseller you have to sign up, meet some minimum requirements, and sign a an agreement stating you will ONLY procure your products for resale through authorized distributors.
Grey market items are simply products that have not gone through the proper chanels. They may have been purchased overseas, or have changes hands a few times. For example, the camera may have originally been purchased by a Sony or Nikon reseller through Ingram Micro. However it was then sold to another reseller, who sold it to another reseller who finally sold it to you. This is called 3 tiering and breaks the Distribution partner agreement for Sony or Nikon. Thus the product is labeled "greymarket" is the warranty is voided.
The proper distribution structure is supposed to be Manufacturer(Nikon)>Disributor(Ingram Micro)>Reseller(
Adorama)>End User(YOU).
However grey market items usually follow a process like this: Manufacturer(Nikon)>Distributor(Ingram)>Reseller(Bob's Camera Shack)>Reseller(47St. Photo)>Reseller(
Adorama)>End User(YOU). This makes the product "greymarket" as it did not follow the correct channel structure.
As such Sony or Nikon (or any other vendor) declares these as greymarket and usually will not honor the warranty.
However they are 100% the same product, they were just not purchased through the proper Sony distribution channels.
As it so happens, many greymarket camera are versions intended for Europe or Asia, but this in itself does not make it greymarket. Grey market denotes that it was not procured through the official Sony disti channels, and has nothing to do with it's origin or the quality of the product.
So if you buy a camera that
Adorama or someone labels as "Grey market", it is 100% a normal Canon or Sony or Nikon Camera...however it didn't go through the proper channels to get there, and as such may not have a valid warranty.
There is nothing illegal, or wrong about purchasing greymarket products. However you take the risk that if it does break (which it is no more likely to do than a normal one) the warranty is generally void.