Gregg skated a personal best 34.369 seconds to finish just behind Mika Poutila of Finland, who won silver in 34.361. Jan Smeekens of The Netherlands took gold in 34.32, setting a Dutch record in the process.
"It kind of relaxed me. Sometimes it can tense people up, but it relaxed me today and that's why I got off the line so well and was able to carry it through," said Gregg, an Edmonton native.
Christine Nesbitt of London, Ont., the world record holder in the 1,000, captured silver at that distance in one minute 13.67 seconds. Heather Richardson of the United States won in 1:13.09. Another American, Brittany Bowe, took bronze in 1:13.91.
Sang-Haw Lee of Korea just missed the world record in the 500 with a time of 36.99. Richardson claimed silver in 37.12 with current world record holder Jing Yu of China capturing bronze in 37.28. Nesbitt finished 10th in 37.88.
Yu skated a 36.94 at the world sprint championships in Calgary on Jan. 29, 2012 to set the current 500 record. Nesbitt recorded the 1,000 standard of 1:12.68 the day before at the same event.
World record holder Shani Davis of the United States won the men's 1,000 on Saturday in 1:07.49. Kjeld Nuis of the Netherlands was second in 1:07.64, followed by Nuis's countryman Michael Mulder in 1:07.87.
Winnipeg's Tyler Derraugh of Winnipeg was the top Canadian in fourth (1:07.97).
It was Gregg's fourth individual World Cup medal and for the most part he was happy with it.
"The result was good, but I definitely left some time out there," he said. "I'm looking forward to (Sunday) to hopefully skating better."
Nesbitt's time in the 1,000 was more than a second faster than her previous best this season.
"I feel like it's going in the right direction as I focus on the world (single distance) championships in Sochi (Russia) in March. I think I'm making good progress," she said.
Nesbitt, the 2010 Vancouver Olympic gold medallist in the 1,000, will race the 500 and 1,000 again Sunday, as will Gregg.
As the skaters build toward Sochi in March many personal bests were recorded on Saturday, including by Richardson, who set an American record in the 1,000 one week before moving to home soil for the world sprint championship in Salt Lake City Jan. 26-27.
"The ice is great, I'm definitely happy," said Richardson. "My 500 metre opener was really good for me. That's what I've been working on."
Denny Morrison of Fort St. John, B.C., Canada's top men's 1,000 skater, was absent from the ice. The 27-year-old broke his leg while cross-country skiing Dec. 22 in Fernie, B.C.
The injury halted a strong season for Morrison, who was leading the 1,000 standings after winning in Heerenveen, the Netherlands in November and picking up a silver in Nagano.
Other Canadian results from Saturday: Anastasia Bucsis of Calgary 17th in 500; Gilmore Junio sixth and Alex Boisvert-Lacroix 17th in 500; and Gregg seventh in 1,000.