Do you mean you followed through with the auth, as seen on https://sendgrid.com/docs/ui/account-and-settings/how-to-set-up-domain-authentication?
Strange that you’re still having issues if you did complete the DKIM and SPF auth.
I like to use Mail Tester https://www.mail-tester.com to see how the email sender fairs in the eyes of spam protection systems and blacklists (gives you a breakdown of what could be going wrong). Simply setup a workflow in your app to send an email and enter the email address as seen on the Mail Tester website.
On one of my apps I upgraded my SendGrid account to enable a private IP address. It’s very possible that the IP SendGrid assigned your account is using a shared IP that someone else has recently gotten blacklisted, or the IP on your authorized domain/host is blacklisted.