Richard Marshall’s side ran out 26-20 winners, with two second-half tries from outstanding full-back Will Sharp helping them overturn an 8-6 half time deficit.
Rochdale took the lead with a Rob Massam try, converted by Harvey Livett, but Welshman Sion Jones, making an excellent senior debut, drove to within a metre of the line and hooker Ben Kaye burrowed over, Steve Tyrer converting for an 8-6 half time deficit.
Pat Moran touched down Dave Allen’s pass and Livett opened up a 14-6 lead.
But the visitors responded, Sharp slipping through the defence to touch down.
Tyrer missed the conversion to leave the score poised at 14-10, but when James Woodburn-Hall hoisted the ball high into the sun the defence melted away and Grix collected to score.
Tyrer’s conversion put Halifax ahead for the first time at 16-14 and when Woodburn-Hall, who continues to improve at half back, sent Sharp haring to the corner with 13 minutes remaining, Fax led 20-14.
Scott Murrell’s offload set up Ed Barber in injury time and Tyrer kicked his side into a 26-14 lead, and that seemed to be that.
But there was still time for one final comedy of errors, with Livett’s late converted try leading to a nervous final 30 seconds as the visitors clung on for the victory.
Rochdale: Lepori; Cross, Hurst, King, Massam; Palfrey, Yates; Taira, Moores, L. Adamson, Allen, Mitchell, Livett. Substitutes: T. Adamson, Maneely, Moran, Johnson
Halifax: Sharp; Clare, Heaton, Tyrer, Saltonstall; Murrell, Woodburn-Hall; Maher, Moore, Murray, Barber, Grix, Fairbank. Substitutes: Fleming, Kaye, Jones, Morris
Referee: T. Grant (RFL).