In July 2006, Grosso joined Inter for a reported €5 million transfer fee (plus Paolo Dellafiore). However, Grosso was in-and-out of the club's starting line-up and was mostly used as a substitute. He made just 23 appearances for Inter in the league, and scored two goals, as the team captured the 2006 Supercoppa Italiana and the Serie A title. Following the disappointing season with Inter, Grosso opted to move abroad and was sold to Olympique Lyonnais in the summer of 2007, just one year after his move to Inter.
On 4 July 2006, Grosso scored the first goal against hosts Germany in the 119th minute of the World Cup semi-finals with a curling left-footed strike beyond the reach of Jens Lehmann into the Germans' net from the edge of the box, which commentator John Motson would describe as "magnificent", while Grosso ran about screaming "Non ci credo!" ("I don't believe it!") as his teammates celebrated. In the World Cup final, five days later, he scored the winning penalty against France in a 5–3 victory in the resulting shoot-out after a 1–1 draw following extra-time, which allowed the Italy national team to win their fourth World Cup title.