Grimsby went close when Peter Bore hauled the ball back to Adrian Forbes who scooped a right foot shot over the bar.
Rochdale then dominated and went ahead when Chris Dagnall played in Rundle who wrong-footed the defence before slotting home with his left foot.
O'Grady hammered a volley just wide and Nick Colgan saved at the feet of Simon Whaley as Rochdale looked to extend their lead.
Grimsby went close to an equaliser when Bore pulled the ball back for Josh Magennis but his right foot pile-driver hit the bar.
Rochdale made the game safe when O'Grady picked up a clearance on the edge of the box and saw his right-foot shot deflect home past Colgan.