The undirected edge geography is a two-player combinatorial game on an undirected rooted graph. The players alternatively perform a move consisting of choosing an edge incident to the root vertex, removing the chosen edge, and marking the other endpoint as a new root vertex. The first player who cannot perform a move is the loser. In this paper, we are interested in the undirected edge geography game on the grid graph $P_m\square P_n$. We completely determine whether the root vertex is a winning position (N-position) or a losing position (P-position). Moreover, we give a winning strategy for the winner.