To assess the performance of multi-configuration methods using exact exchange Kohn-Sham (KS) orbitals, we implemented configuration interaction singles and doubles (CISD) in a real-space numerical grid code. We obtained KS orbitals with the exchange-only optimized effective potential under the Krieger-Li-Iafrate (KLI) approximation. Thanks to the distinctive features of KLI orbitals against Hartree-Fock (HF), such as bound virtual orbitals with compact shapes and orbital energy gaps similar to excitation energies; KLI-CISD for small molecules shows much faster convergence as a function of simulation box size and active space (i.e., the number of virtual orbitals) than HF-CISD. The former also gives more accurate excitation energies with a few dominant configurations than the latter, even with many more configurations. The systematic control of basis set errors is straightforward in grid bases. Therefore, grid-based multi-configuration methods using exact exchange KS orbitals provide a promising new way to make accurate electronic structure calculations.