The procession of Lady Jane Grey to trial with her husband and some of his brothers was recorded by an eye witness.
These descriptions can be found in the following:
Notices of the Historic Persons Buried in the Chapel of St Peter ad Vincula in the Tower of London: with an account of the discovery of the supposed remains of Queen Anne Boleyn by Doyne C Bell
Lady Katherine Grey: A Dynastic Tragedy by Conor Byrne
Lady Jane Grey by Hester W Chapman
The Nine Days’ Queen: Lady Jane Grey and Her Times by Richard Davey
Lady Jane Grey: A Tudor Mystery by Eric Ives
Henry VIII’s Secret Daughter: The Tragedy of Lady Jane Grey by F W Kenyon
The Tudor Queens of England by David Loades
The Nine Days Queen: A Portrait of Lady Jane Grey by Mary Luke
A History of the Tudors in 100 Objects by John Matusiak. One line only.
The Chronicle of Queen Jane and Two Years of Queen Mary and Especially of the Rebellion of Sir Thomas Wyatt edited by John Gough Nichols. Procession details only.
Lady Jane Grey and the House of Suffolk by Alison Plowden
Lady Jane Grey: Nine Days Queen by Alison Plowden
Crown of Blood: The Deadly Inheritance of Lady Jane Grey by Nicola Tallis
Children of England: The Heirs of King Henry VIII by Alison Weir