The motion of spinning relativistic particles in external electromagnetic and gravitational fields is considered. The self-consistent equations of motion are built with the noncovariant description of spin and with the usual, 'naive' definition of the coordinate of a relativistic particle. A simple derivation of the gravitational interaction of first order in spin is presented for a relativistic particle. The approach developed allows one to consider effects of higher order in spin. Concrete calculations are performed for the second order. The gravimagnetic moment is discussed, a special spin effect in general relativity. We also consider the contributions of the spin interactions of first and second order to the gravitational radiation of compact binary stars.