GridView is a server-side data representation control and it recommended to bind it with data at the server. If you want to use GridView, you need to use transform the result from your webservice and convert it into a DataTable or a List type so you can bind them in your GridView. Here's an example on how to consume WebService in ASP.NET:
Consuming Web Service In an ASP.Net Web Application[
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Now, if you want to bind your GridView at the client using JavaScript/jQuery then GridView isn't the best control for you. While it could be possible, I'm pretty sure it give you a pain in the butt. What I'm trying to say is you must avoid mixing server side conntrols with client-side manipulation. Instead, use a client-side Grid that you can easily bind them at the client. One great example is using
jQuery DataTable
plugin:
Display Data In ASP.NET Using jQuery DataTables Plugin[
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