We study gradings by abelian groups on associative algebras with involution over an arbitrary field. Of particular importance are the fine gradings (that is, those that do not admit a proper refinement), because any grading on a finite-dimensional algebra can be obtained from them via a group homomorphism (although not in a unique way). We classify up to equivalence the fine gradings on simple associative algebras with involution over the field of real numbers (or any real closed field) and, as a consequence, on the real forms of classical simple Lie algebras.