The BBC Radio 1 DJ caught the One Direction singer listening to 'We Can't Stop' in the short clip.
The number one hit can be heard as Grimshaw walks towards Styles's car and says: "Listen to what she listens to."
When he reaches the window, Styles can be seen moving his arms to the music before stopping when he notices his friend filming.
The stars have previously defended their close friendship, with Styles laughing off rumors that the pair are involved in a romantic relationship.
In September, Grimshaw was forced to deny claims made by a tabloid that the 19-year-old popstar had slept over at his house throughout London Fashion Week.
A spokesperson for the presenter said: "Harry has not stayed at Nick's house once during Fashion Week."
He recently became involved in a Twitter spat with Styles's bandmate Louis Tomlinson.