The Grymkin are the denizens of the wilderness of Urcaen. (Caen being the mortal world where Warmachine and Hordes is set, and Urcaen being the afterlife world to which humans pass when they die.) This wildnerness is beyond the protection of the gods and is essentially hell for all intents and purposes.
Grymkin are not undead or demons, but have both souls and physical bodies. The Grkymkin are led by The Defiers, five mortals who rejected the god Menoth in person, and were banished to Urcaen as eternal punishment. There they suffered endless torment at the hands of nightmare creatures of their own worst imaginings. Over thousands of years, the Defiers learned to control these nightmares and became demigods themselves.