Anthony Greville-Gascoigne was the founder and principal of The Brothers of the Path, an esoteric organisation operating in East Yorkshire in the 1930s and 40s. He was also the author of a book on occultism, The Way of an Initiate, and a correspondent with other leading occultists of the day. It seems likely that “Anthony Greville-Gascoigne” was a pen name.
Greville-Gascoigne described himself as a consultant in psychiatry and psychopathology , a Fellow of the Royal Society of the Arts, and a member of the Institute of Journalists. 
He probably founded The Brothers of the Path in the early 1930s, and was editing The Golden Dawn Magazine from 1938 onwards. He seemed to have a few close associates working with him: Stanley Conrad Churchill (the Secretary, Associate editor and Astrologer), Andrew Philip Chetwode (the Business Manager) and Berkeley Spencer-Shaw (the Director of Studies). He also had a wide range of correspondents in Britain and abroad.
It seems that he was one of the (overseas) founder members of the American Federation of Astrologers in 1938. 
He had some correspondence with Aleister Crowley in 1938, and according to one source, he was briefly the Grand Treasurer General of the O.T.O. 
His book, The Way of an Initiate, published in 1940, was originally conceived as a series of lectures on topics such as modern occultism, magic and reincarnation. It shows that Greville-Gascoigne was widely read in occultism, psychology and Christian Mysticism, quoting Dion Fortune, Israel Regardie, E J Langford Garstin, P D Ouspensky and others. He was an admirer of Dion Fortune, stating at one point, “In England I know of only two really genuine schools; my own organisation – The Brothers of The Path – and that of Dion Fortune – The Fraternity of the Inner Light.” (The Way of an Initiate, p. 26).
It seems likely that Greville-Gascoigne had a close connection with Israel Regardie. The Golden Dawn Magazine included many articles by Regardie, and he is frequently quoted in The Way of the Initiate. In fact the book is dedicated to “Ursula and Francis”, who are most likely Ursula Greville (a close friend of Regardie’s and a correspondent in The Golden Dawn Magazine), and Regardie himself (his first name was Francis).
After the war, The Brothers of The Path, and presumably Greville-Gascoigne, moved to southern Ireland, and I have not come across any output from the Brothers after that point. However, there is a further trace of Greville-Gascoigne: in 1950 he wrote a series of songs set to music by the Nigerian musician Fela Sowande.
Sowande was a member of The Brothers of The Path, described as a “student and friend” in a 1941 issue of The Golden Dawn Magazine (p.33, Vol 4, No 1). The collaboration, called “Songs of Contemplation” consists of three songs: ‘To a Priestess,’ ‘Loneliness,’ and ‘Night in the Desert’.
: Letter from AGG, item GD7/6/4g held by the Freemasonry Museum in London.
: Golden Dawn Magazine, Volume 4 , No 3 he is titled: Dr A Greville-Gascoigne, Ph.D., F.R.S.A., M.R.S.L., M.J.I. In The Way of an Initiate, he is titled: Ph.D., F.R.S.A., M.C.T.P.
: According to The Astrology Book: The Encyclopedia of Heavenly Influences by James R. Lewis, p.22, (link), the American Federation of Astrologers was founded in 1938, by astrologers including “Dr Greville Gascoigne” of England. The American Federation of Astrologers have a website at https://www.astrologers.com/about/
: In Aleister Crowley: the Biography: Spiritual Revolutionary, Romantic Explorer by Tobias Churton (link) there is a a reference to A.G.G.: “In April 1938, Dr Anthony Greville-Gascoigne, a Psychoanalyst contact of Regardie’s through Dion Fortune’s Society of the Inner Light opined that The Book of the Law went over ordinary people’s heads and frightened them….”. There is some follow-up information on a forum of the Aleister Crowley Society:
 A description of A.G.G. given in a bookseller’s catalogue states that A.G.G. was connected to the O.T.O.: “A. Greville-Gascoigne is known to have been in reasonably regular contact with both Dion Fortune and Israel Regardie, and in the late 1930s also had dealings with Aleister Crowley who for a brief spell appointed him Grand Treasurer General of the O.T.O. ”