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It is widely accepted that the lightweight design of a grid fin is closely related to its aerodynamic performance and structural integrity, while limited work seeks their balance. This study proposes a lightweight grid fin design method by taking the locally swept-back angle as a variable based on three-dimensional computational fluid dynamics and fluid–thermo–structure coupling analysis for Mach numbers ranging from 0.8 to 5. The effect of the swept-back angle on the relative aerodynamic efficiency profit, weight saving, and structural integrity (with a focus on static strength) was analyzed. The results showed that the locally swept-back configuration maintained structural integrity while enabling simultaneous aerodynamic performance improvement and weight saving across different Mach numbers through swept-back angle adjustment. At Mach 0.8, 1.5, and 2.0, the 20° swept-back configuration achieved a 13.2% weight saving and improved aerodynamic performance. At Mach 0.9, the 15° configuration delivered optimal aerodynamic enhancement with a 10% weight saving. Notably, the 15° configuration demonstrated excellent balance after evaluating all Mach number operating conditions. All these highlight a good attempt for the trade-off design of structures among weight saving, aerodynamic performance, and structural integrity.