Though the musical only touches on the Big Edie and Little Edie we all know from the documentary in Act 2, I fully suggest watching the documentary (which the musical is based on) before anything, really. It'll make you appreciate the musical so much more, especially Christine and Mary Louise's performances.
Act 1 gives you the history for what is to become Act 2.
"Grey Gardens concerns both the deliciously eccentric aunt and cousin of Jacqueline Kennedy Onassis, who were once among the brightest names in the pre-Camelot social register, but became East Hampton's most notorious recluses, living in a dilapidated 28-room mansion. Set in two eras — in 1941 (Act 1) when the estate was in its prime and in 1973 (Act 2) when it was reduced to squalor — the musical tells the alternatively hilarious and heartbreaking story of two indomitable individuals, Edith Bouvier Beale and her adult daughter 'Little' Edie."
Critics celebrated leading lady Christine Ebersole for her turn as Edith Beale in the 1940s-set first act, and Little Edie (her middle-aged daughter) in the 1970s-set second act.