There is not setting to have the grid on a 3D plot like that.
But it can be easily drawn with 3D lines too.
void multigraph3D()
{
auto C = new TCanvas("C","C",200,10,700,500);
auto mg = new TMultiGraph();
auto gr1 = new TGraph(); gr1->SetLineColor(kBlue);
auto gr2 = new TGraph(); gr2->SetLineColor(kRed);
auto gr3 = new TGraph(); gr3->SetLineColor(kGreen);
auto gr4 = new TGraph(); gr4->SetLineColor(kOrange);
Double_t dx = 6.28/100;
Double_t x = -3.14;
for (int i=0; i<=100; i++) {
x = x+dx;
gr1->SetPoint(i,x,2.*TMath::Sin(x));
gr2->SetPoint(i,x,TMath::Cos(x));
gr3->SetPoint(i,x,TMath::Cos(x*x));
gr4->SetPoint(i,x,TMath::Cos(x*x*x));
}
mg->Add(gr4); gr4->SetTitle("Cos(x*x*x)"); gr4->SetLineWidth(3);
mg->Add(gr3); gr3->SetTitle("Cos(x*x)") ; gr3->SetLineWidth(3);
mg->Add(gr2); gr2->SetTitle("Cos(x)") ; gr2->SetLineWidth(3);
mg->Add(gr1); gr1->SetTitle("2*Sin(x)") ; gr1->SetLineWidth(3);
mg->Draw("a fb l3d");
double xl[4] = {0.5,1.5,2.5,3.5};
double yl[4] = {0.,1,-1,0};
double zl[4] = {0.,0.,0.,0.};
auto *pl3 = new TPolyLine3D(4, xl, yl, zl);
pl3->SetLineColor(kOrange+2);
pl3->SetLineWidth(3);
pl3->SetLineStyle(3);
pl3->Draw();
// Draw grid
for (double yg=-3; yg<=3; yg++) {
auto *lg3 = new TPolyLine3D(2);
lg3->SetLineStyle(3);
lg3->SetPoint(0,0,yg,-2);
lg3->SetPoint(1,4,yg,-2);
lg3->Draw();
}
for (double xg=1; xg<=3; xg++) {
auto *lg3 = new TPolyLine3D(2);
lg3->SetLineStyle(3);
lg3->SetPoint(0,xg,-3,-2);
lg3->SetPoint(1,xg,3,-2);
lg3->Draw();
}
}