Born on 11 September 1880 at the Royal Palace of Madrid, Mercedes was the eldest daughter of King Alfonso XII and his second wife, Maria Christina of Austria. She was christened María de las Mercedes Isabel Teresa Cristina Alfonsa. Her godmother was Queen Isabella II, her paternal grandmother, who came from retirement in Paris to attend the birth of her first grandchild. There was great disappointment because family and nation were hoping for a boy. To smooth things out, Queen Maria Christina suggested giving her daughter the name Mercedes in honor of her husband's first wife, Mercedes of Orléans.