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 is the daughter of Lady Eleanor and Sir John Davies from Englefield, Berkshire. Sir John was a courtier during James I and Charles I reigns and an accomplished poet; his mother, Eleanor Davies (1590–1652), known as the "mad prophetess," was the sister of executed Lord Castlehaven.