The two women were left very shaken after the incident and immediately told the college's deputy head, Rosemary Tarbotton.
In the week following, a "substantial number" of girls at the college had slept with their lights on and shared rooms with other students.
He said the situation had calmed down since staff arranged a blessing on May 10.
University Chaplain Rev Greg Hughson said he and a local kaumatua were brought in to calm students after they had been through a "genuinely frightening experience".
"We reaffirmed God's presence and God's love and God's peace and God's power in that place and then we said the Lords Prayer together."
In the 12 years as university chaplain he had been asked to do blessings after ghost sightings on two other occasions.
Resident Catherine McKessa said students had noticed "other things" since the initial incident, with another girl seeing a black figure at the end of her bed.
Owner/operator of Dunedin ghost tour company HairRaiser Andrew Smith said there were a couple of stories involving the "Grey Lady" and there had previously been sightings at the recently moved psychiatric unit in Dunedin Hospital and at the site of Dunedin's first hospital.
It was "very fashionable" to name ghosts the "Grey Lady" in Victorian times, Mr Smith said.
"It was believed that a new ghost would be quite bright white and that over time as the ghost was seen more often it would fade to a greyish colour."