In 1983, Stefan Edberg of Sweden, won all four of the Grand Slam Junior Titles and therefore became the first player to win "The Junior Grand Slam!" Since then, Steffi Graf won the Golden Grand Slam in 1988 (all 4 GS titles plus the Olympic Gold Medal) and others have accomplished winning all of the four majors, consecutively but not in the same year (Serena Williams, 2002-2003) and still more have won at least one of each of the four majors in their careers (Andre' Agassi, Roger Federer, Rafael Nadal & Maria Sharapova).
I certainly hope that you didn't mean when Stefan Edberg accidentally killed a linesman with an errant serve at the 1983 US Open . . . that would be an ignominious accomplishment, at best.