For deleting records of MassMailer Email Status :
Go to Developer Console --> Write a query for this object i.e
delete[Select id, createddate from sendgrid4sf__SendGrid_Email_Status__c where createddate>=:system.now().addDays(-30) LIMIT 9999];
This query will delete records of last 30 days.
Run the above query multiple times, For example :
It will delete the records from MassMailer Email Status.
-30 = Number of days for which you wants to delete the records.
For writing a query in developer console, follow certain Steps :