Macclesfield had an early chance when Gareth Evans took advantage of a mistake by Peter Bore to race into the box, but his shot was saved low down to his left by Wayne Henderson.
Chris Llewellyn brought a save out of Jon Brain with a far-post header, and the keeper also kept out a volley from Peter Sweeney.
Grimsby turned up the pressure after the break, and they almost got the breakthrough when a Sweeney corner was met by Jean-Louis Akpa Akpro, but Brain tipped his header over the bar.
Macclesfield went close when Richard Walker's header was pushed away by Henderson.
And with five minutes to go, Nick Hegarty crossed from the left, and substitute Adrian Forbes looked certain to score from six yards until Brain somehow got a hand to his shot.