Coat color is among the most distinctive phenotypes in cattle. Worldwide, several breeds share peculiar coat color features such as the presence of a fawn pigmentation of the calf at birth, turning over time to grey, and sexual dichromatism. The aim of this study was to search for polymorphisms under differential selection by contrasting grey cattle breeds displaying the above phenotype with non-grey cattle breeds, and to identify the underlying genes. Using medium-density SNP array genotype data, a multi-cohort FST-outlier approach was adopted for a total of 60 pair-wise comparisons of the 15 grey with 4 non-grey cattle breeds (Angus, Limousin, Charolais, and Holstein), with the latter selected as representative of solid and piebald phenotypes, respectively. Overall, more than 50 candidate genes were detected; almost all were either directly or indirectly involved in pigmentation, and some of them were already known for their role in phenotypes related with hair graying in mammals. Notably, 17 relevant genes, including SDR16C5, MOS, SDCBP, and NSMAF, were located in a signal on BTA14 convergently observed in all the four considered scenarios. Overall, the key stages of pigmentation (melanocyte development, melanogenesis, and pigment trafficking/transfer) were all represented among the pleiotropic functions of the candidate genes, suggesting the complex nature of the grey phenotype in cattle.