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I've been kicking around the idea of making another army, and I really like GK and Mechanicus. So, instead of making 2 armies I can make 1 big one. I stick to the fluff pretty religiously so while they're battle bros in game, is it common for these alliances to happen? I'm thinking something along the lines of the mechanicus are tracking dark xenos technology but then it turns out, bam! Chaos artifact and GK are called in.

However, even though the imperium is technically united a lot of people have different agendas, and one another can get in each others way.

So, my question is, has there been any recorded, important instances where they meet? And if so, what was the interaction like? (Hostile, nice, etc.)

well they do have tech priests in their codex.

Yeah, I suppose that means at least they don't hate each other lol. It also makes you wonder about what/who supplies and repairs all their terminator armour? It is relatively rare, so they are pretty lucky to have it in such abundance...

They could simply be allied as the AdMech found strange tech, and called the GK in to investigate signs of taint.
Or, one faction might have stumbled across the other, for one reason or another, and allied in the face of a new threat.

They have strong ties to the AdMech if memory serves, though it's been a bit since I've read the lore. Daemons do pop up on AdMech worlds occasionally, and that'd be a good reason for them to work together.

'Dark Adeptus' deals with AdMech & Grey Knights exploring a chaos-tainted forgeworld.

 #1ShieldBrother3++ wrote:
It also makes you wonder about what/who supplies and repairs all their terminator armour? It is relatively rare, so they are pretty lucky to have it in such abundance...

An entire moon was ripped from Mars' orbit and taken to Saturn to act as a private forge world for the Grey Knights.

http://warhammer40k.wikia.com/wiki/Titan_(Moon)

(scroll down to Deimos. And add a parethesis to the end of that URL. Faulty forum formatting...)