Hi all,
I spent most of the day trying to figure out why USB Tethering was greyed out. I wanted to transfer photos from my phone to Facebook. The PC is running Windows 10 and I also tried it on an iMac running El capitan. Checked that USB Debugging was on, checked drivers on the PC, used *#0808# which showed the phone was set for MTP + ADB, all looked good. Then I realised I'd been using the cable off my mini jump start. Once I changed to a "proper" USB cable the problem went away. So my advice is, number one, check the cable because it could save you a lot of time. At least, by making sure the cable is good, you can be reasonably confident that you may need to take other measures.
Hope this helps.