See this right here?
That on the table is, or rather was, a helmet.
It belonged to Corporal Jason Dunham of the US Marine Corps. While his Marine squad was trying to subdue an enemy combatant, the insurgent dropped a grenade among them. Dunham jumped on the grenade to save his comrades, placing his combat helmet directly over the grenade to reduce the blast.
You can see how that worked out for the helmet.
Surprisingly, Dunham was not immediately killed by the blast, but he was severely wounded. His injuries sent him into a coma, and he died eight days later.
Dunham was posthumously awarded the Medal of Honor for his sacrifice.
So judging by real world experience, the answer to this question is no. Of course, if you are presented with a grenade, you want to put as much distance and protection between you and it as possible. If that includes a helmet, it’s better than nothing. But you cannot expect that it will save you.
If you’ve got a better option, take it.