She was the daughter of Lady Eleanor and Sir John Davies (1569–1626) of Englefield, Berkshire, a prominent courtier in the reigns of James I and Charles I and himself a poet; her mother was notorious as the "mad prophetess" Dame Eleanor Davies (1590–1652), sister of the executed Lord Castlehaven.
She was the daughter of Lady Eleanor and Sir John Davies (1569–1626) from Englefield, Berkshire; a distinguished courtier during James I and Charles I reigns and himself an accomplished poet; her mother, Eleanor Davies (1590–1652), known as the "mad prophetess," was the sister of executed Lord Castlehaven.