Retain TextBox focus in dynamically created GridView in ASP.Net

Here I have created sample that will help you out.

HTML

<div>
    <script type="text/javascript">
        $(function () {
            document.body.focus();
            SetFocusOnRow(0);
        });
        function SetFocusOnRow(LastIndex) {
            if ($('[id*=hfLastIndex]').val() != '') {
                LastIndex = parseInt($('[id*=hfLastIndex]').val());
            }
            $('[id*=Gridview1] tr:has("td")').eq(parseInt(LastIndex)).find("[id*=TextBox1]")[0].focus();
            return false;
        }
    </script>
    <asp:GridView ID="Gridview1" runat="server" ShowFooter="true" AutoGenerateColumns="false">
        <Columns>
            <asp:BoundField DataField="RowNumber" HeaderText="Row Number" />
            <asp:TemplateField HeaderText="Header 1">
                <ItemTemplate>
                    <asp:TextBox ID="TextBox1" runat="server"></asp:TextBox>
                </ItemTemplate>
            </asp:TemplateField>
            <asp:TemplateField HeaderText="Header 2">
                <ItemTemplate>
                    <asp:TextBox ID="TextBox2" runat="server"></asp:TextBox>
                </ItemTemplate>
            </asp:TemplateField>
            <asp:TemplateField HeaderText="Header 3">
                <ItemTemplate>
                    <asp:TextBox ID="TextBox3" runat="server" OnTextChanged="Texbox_Changed" AutoPostBack="true"></asp:TextBox>
                </ItemTemplate>
            </asp:TemplateField>
        </Columns>
    </asp:GridView>
    <asp:HiddenField ID="hfLastIndex" runat="server" />
</div>

C#

static int LastIndex = 0;
protected void Page_Load(object sender, EventArgs e)
{
    if (!Page.IsPostBack)
    {
        SetInitialRow();
    }
}
private void SetInitialRow()
{
    DataTable dt = new DataTable();
    DataRow dr = null;
    dt.Columns.Add(new DataColumn("RowNumber", typeof(string)));
    dt.Columns.Add(new DataColumn("Column1", typeof(string)));
    dt.Columns.Add(new DataColumn("Column2", typeof(string)));
    dt.Columns.Add(new DataColumn("Column3", typeof(string)));
    dr = dt.NewRow();
    dr["RowNumber"] = 1;
    dr["Column1"] = string.Empty;
    dr["Column2"] = string.Empty;
    dr["Column3"] = string.Empty;
    dt.Rows.Add(dr);
    ViewState["CurrentTable"] = dt;

    Gridview1.DataSource = dt;
    Gridview1.DataBind();
}
private void AddNewRowToGrid()
{
    int rowIndex = 0;

    if (ViewState["CurrentTable"] != null)
    {
        DataTable dtCurrentTable = (DataTable)ViewState["CurrentTable"];
        DataRow drCurrentRow = null;
        if (dtCurrentTable.Rows.Count > 0)
        {
            for (int i = 1; i <= dtCurrentTable.Rows.Count; i++)
            {
                //extract the TextBox values
                TextBox box1 = (TextBox)Gridview1.Rows[rowIndex].Cells[1].FindControl("TextBox1");
                TextBox box2 = (TextBox)Gridview1.Rows[rowIndex].Cells[2].FindControl("TextBox2");
                TextBox box3 = (TextBox)Gridview1.Rows[rowIndex].Cells[3].FindControl("TextBox3");

                drCurrentRow = dtCurrentTable.NewRow();
                drCurrentRow["RowNumber"] = i + 1;

                dtCurrentTable.Rows[i - 1]["Column1"] = box1.Text;
                dtCurrentTable.Rows[i - 1]["Column2"] = box2.Text;
                dtCurrentTable.Rows[i - 1]["Column3"] = box3.Text;

                rowIndex++;
            }
            dtCurrentTable.Rows.Add(drCurrentRow);
            ViewState["CurrentTable"] = dtCurrentTable;

            Gridview1.DataSource = dtCurrentTable;
            Gridview1.DataBind();
        }
    }
    else
    {
        Response.Write("ViewState is null");
    }

    //Set Previous Data on Postbacks
    SetPreviousData();
}
private void SetPreviousData()
{
    int rowIndex = 0;
    if (ViewState["CurrentTable"] != null)
    {
        DataTable dt = (DataTable)ViewState["CurrentTable"];
        if (dt.Rows.Count > 0)
        {
            for (int i = 0; i < dt.Rows.Count; i++)
            {
                TextBox box1 = (TextBox)Gridview1.Rows[rowIndex].Cells[1].FindControl("TextBox1");
                TextBox box2 = (TextBox)Gridview1.Rows[rowIndex].Cells[2].FindControl("TextBox2");
                TextBox box3 = (TextBox)Gridview1.Rows[rowIndex].Cells[3].FindControl("TextBox3");

                box1.Text = dt.Rows[i]["Column1"].ToString();
                box2.Text = dt.Rows[i]["Column2"].ToString();
                box3.Text = dt.Rows[i]["Column3"].ToString();

                rowIndex++;
            }
        }
    }
}
protected void Texbox_Changed(object sender, EventArgs e)
{
    AddNewRowToGrid();
    LastIndex = Gridview1.Rows.Count - 1;
    hfLastIndex.Value = LastIndex.ToString();
}

Screenshot