What about protagonists who are gray because they are literally playing both sides? 'The Lies of Locke Lamora' is fantasy, not sci-fi, but Locke is a con artist who robbs the rich in a fantastical Venetian city. He has a code (don't rob the poor), but he's still a thief, a liar, and a manipulator. His moral flexibility is his greatest tool. The brilliance is that you're cheering for him to pull off increasingly elaborate heists against even worse people. The line between hero and villain is beautifully blurred because the establishment he's fighting is so corrupt. It's fun, witty, and full of heart, even as your favorite characters do terrible, terrible things.
Sometimes the best gray protagonists are the ones who think they're still in the right. 'The Poppy War' by R.F. Kuang follows Rin, a war orphan who gets into an elite military academy through sheer brutal will. Her descent is terrifying because it's so logical. Faced with genocide and absolute evil, she embraces monstrous power to fight back, and that power irrevocably changes her. Is she a hero saving her people or a monster in the making? The book doesn't let you off the hook with an easy answer. It's a brutal, historical-fantasy-inspired look at the cost of war and revenge, and Rin's moral compass shatters page by page.
Portal fantasy with a gray twist: 'The Magicians' by Lev Grossman. Quentin Coldwater is a brilliant, entitled, and deeply unhappy young man who discovers magic is real. He's not a villain, but he's certainly not a hero. He's petty, selfish, makes terrible decisions that hurt everyone around him, and spends a lot of time being miserable despite getting his childhood wish. The grayness is in his profound human flaws. He's a deconstruction of the Chosen One, showing that even with ultimate power, you're still stuck with yourself. The books are a brutally honest look at depression, disillusionment, and the hard work of growing up, wrapped in a Narnia-esque package that goes horribly, wonderfully wrong.
Military sci-fi often does this well. 'Old Man's War' by John Scalzi. John Perry is a pretty decent guy at the start, but the process of joining the Colonial Defense Forces—getting a new, enhanced young body—and the sheer brutality of interstellar warfare grind that decency down. The morality is gray on a systemic level: humanity is expanding in a deadly universe, and it does horrific things to survive. Perry participates in it, justifies it, and tries to retain his humanity within the machine. It's less about personal villainy and more about the moral corrosion of being a cog in a necessary but ugly war machine.
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