Grund said he and Casey Anthony dated for about six weeks in early 2005, and that he was shocked when she told him in June of that year - months after they had broken up - that she was pregnant with his baby.
"I was completely, I guess, flabbergasted for a better choice of words," he told "48 Hours Mystery."
"The math just didn't add up," he said - especially when a full-term baby was born in early August. While he went ahead assuming the role of Caylee's father, Grund decided to have a paternity test done.
What he hadn't planned on was how attached he'd quickly become to the little girl.
"Caylee was a really easy baby, I gotta be honest... so wonderful," he said. "I fell in love with her as soon as I saw her."
His feelings for the baby made the test results particularly difficult for him to accept. "...it said zero-percent probability that I was the biological father. It was relieving and heartbreaking at the same time. I didn't want anybody else to be that little girl's father except for me."
Casey never publicly revealed the identity of Caylee's real father, which was just fine with Grund.
"I could have just jumped ship and left," he said. "But that was never my intention."
Instead, at the very end of 2005, he proposed.
It didn't matter that Caylee wasn't his; Grund was in love with his new family. But just five months after she said "yes," Casey called off the engagement.
"She claimed I loved Caylee more than I loved her," he explained, calling Casey's reasoning "bogus."
Grund is sure he knows the real reason Casey dumped him: pressure from her mother, Cindy Anthony. Casey and her baby were living in her parents' home.
"She was scared I was gonna take Casey and Caylee away, 'cause, let's be honest... we get married [and] we're moving out of the house," he said.
Grund said Casey wanted to leave home and one big reason was that she deeply resented her mother for trying to play "mommy" to the baby.
"It wasn't Casey's child. It was our child. She belonged to all of us," said Cindy.
"Did you ever get the sense she was jealous of your relationship?" asked Maggie Rodriguez.
"Not really," Cindy replied.
"Do you feel she resented you at all?"
"No... I don't think that there was ever resentment there."
Others who know Casey told investigators that Cindy thought she was irresponsible, called her an "unfit mother" and even threatened to seek custody of her granddaughter.
"I never said she was an unfit mother. I never said that," Cindy told Rodriguez. "She was my best friend."
When asked why Casey's friends would say the two didn't get along, Cindy answered, "I don't know. I don't know."
"So everyone who says that was a contentious relationship is lying?" asked Rodriguez.
"They're not telling the truth," she said.
But in mid-June 2008, Casey left home with her daughter, never to return with her. Jesse Grund said that Casey's brother, Lee, told him his sister and mother had had a big fight the night before.
"Cindy confronted Casey about Casey stealing money from Cindy's mother," Grund explained. "And a shouting match ensued, which then had Cindy wrapping her hands around Casey's neck and choking her."
"It's not true," Cindy said. "Mr. Grund has come up with a lot of statements that are not true."
"You described her as a homebody. She had never left for that length of time. She was staying there for free. You were caring for Caylee. Why would she leave?" asked Rodriguez.
"I don't know. That's what we're still trying to find out," replied Cindy.
"So, when they didn't come home that night, were you worried?"
"She called me. She had told me that she was going to stay with a friend that night. Her and Caylee."
But one night turned into many. Cindy said she and Casey spoke by phone each day. Cindy said she started getting concerned after a few weeks of having no contact with her granddaughter.
"It seemed like every time that Casey and I were on the phone, she wasn't where she was with Caylee," Cindy told Rodriguez.
"What would she say to you when you asked to talk to Caylee?"
"That she was with one of her friends or one of her friends' mothers," Cindy replied.
Up to that point, George Anthony said the longest they had gone without seeing their granddaughter was "a day, if that."
In mid-July, a month after Casey left home, the Anthony's picked up her car. It had been found abandoned in an Orlando parking lot around the same time Casey was claiming to be out of town staying with a friend.
Cindy told Rodriguez, "I knew at that point that she wasn't in Jacksonville and, you know..."
"She's been lying to you?"
When they opened the trunk of the car, they were startled by a strong, terrible smell. George described it as "an odor that could take your breathe away."
In a panic now, Cindy tracked Casey down at a boyfriend's apartment in Orlando. When her mother showed up, Casey claimed Caylee was at her nanny's - a woman the Anthonys had been told about since Caylee was a baby, but someone they'd never actually met.
When Casey refused to take her mother to the nanny, Cindy said she threatened to bring the police into it. "I told her, 'I said I wanna see Caylee and I wanna see her now!' I'm angry. I'm panicked. I knew something was wrong."
It was getting late and the nearest police station was closed for the night. So they went home and that's where Cindy says Casey finally broke down, saying she hadn't seen her daughter since they'd left a month earlier and that her nanny had kidnapped Caylee.
Now desperate, Cindy called 911, telling the operator: "I found out my granddaughter has been taken. She has been missing for a month. Her mother finally admitted that she is missing."
"I yelled at her for the first time," Cindy said. "That's the first time that I remember screaming at her and saying 'What do you mean she's been taken? Why didn't you tell me?'"
"In that moment, did you think something terrible could have happened to her?" asked Rodriguez.
"I didn't know. I didn't know. I was in shock...," she replied. "And all I wanted (crying) was someone to walk through the door that could help me find Caylee."
Sheriff's deputies responded immediately and took Casey out looking for her daughter. They went to three buildings where Casey claimed her nanny lived: one was an apartment building, another turned out to be a seniors' home. All proved to be dead ends. There was no evidence the nanny ever lived in any of those places or that she even existed.
As a prosecutor in neighboring Tampa, Pam Bondi has been following the Anthony case from the beginning.
"She even said she worked at Universal Studios and really had the nerve to walk them in Universal Studios as her place of employment," she explained.
But when police confronted Casey about the job, she finally had to admit it was a lie. Casey had worked at Universal two years earlier, but had been fired. Yet she never told her parents, pretending to leave home each day for a job that didn't exist.
"According to her friends, she is a habitual liar," said Bondi.
When asked if he ever confronted his daughter about her lies, George replied, "We had some discussions different times. But then again, I just wanted to believe that what she was telling me was the truth."
When asked what he thinks happened to Caylee, Jesse Grund said, "Honestly, I don't know. The Casey that I knew was incapable of hurting a hair on Caylee's head... But this person - this dark, selfish, remorseless individual that sits in jail right now - I'm not sure what she's capable of."