The grotto is a small manmade structure in Carshalton Park, in the London borough of Sutton. According to Wikipedia, the grotto was built in 1724. It is located in the southeast corner of the park. A now dry canal extends north from the grotto and can clearly be seen on this Google image -
The canal extends along Carshalton Place, visible on this Maps.Me image -
An looking back -
This is the canal section between Talbot Rd and Ruskin Rd, looking south -
This is the main area, looking towards the grotto -
Access into the grotto is blocked by locked gates. I couldn't see much looking in through the centre gate, apparently the roof was covered with shells when built.
Looking back down the canal from the top of the grotto, not sure what the concrete cap is in the second photo -
There is a good history of the park and grotto on yourlocalguardian . And a short feature on Wandle Valley . According to Historic England, the grotto is a listed building.