Qmail does not come with SMTP authentication functionality installed. However you can add the netqmail TLS+SMTPauth patch.
Alternately, you can take a look at Fehcom's very complete description of authentication on mail servers, or just jump down to the section about configuring SMTPAUTH for qmail.
In general, you will need to add the following to /var/qmail/control/smtproutes, but you should verify the actual path and file you need to update.
:smtp.sendgrid.net:587 username password As with all configuration changes, make sure to restart qmail.