I have created a wxGrid, I have 3 rows and 2 columns. I want to add wxTextCtrl and wxButton in the same cell.
pGrid->SetCellValue(3,0,"Label");
wxBoxSizer *hSizer = new wxBoxSizer(wxHORIZONTAL);
wxTextCtrl *txt = new wxTextCtrl(this, ID, "");
wxButton *btn = new wxButton(this, ID2, "OK");
hSizer->Add(txt);
hSizer->Add(btn);
pGrid->SetCellRenderer(3,1, hSizer);

You will need to create a custom editor for this, showing your own custom compound window with a text control and a button in it.