In 1923, shortly after their arrival in Paris, Caresse introduced Crosby to her friend Constance Crowninshield Coolidge, also a Boston Brahmin, an American expatriate. She was the niece of Frank Crowninshield, editor of "Vanity Fair", and had been married to American diplomat Ray Atherton. Constance did not care what others thought about her. She loved anything risky and was addicted to gambling. Crosby nicknamed her the "Lady of the Golden Horse". She began a sexual relationship with Crosby that continued for several months. Harry rationalized their affair, telling Constance, "One should follow every instinct no matter where it leads." But Crosby would not leave Caresse, nor did Constance ask this of him. When Constance received a letter from Caresse who confessed that her affair with her husband had made her "very miserable", Constance wrote Harry and told him she would not see him any more. Harry was devastated by her decision. "Your letter was bar none the worst blow I have ever received. ... I wouldn't leave her under any circumstances nor as you say would you ever marry me." The three remained close friends, and on October 1, 1924, Constance married the Count Pierre de Jumilhac, although the marriage only lasted 5 years.