The bishop was one of the most steadfast friends of Queen Mary. After the failure of the royal cause, and while Mary was a captive in England, Lesley (who had gone to her at Bolton) continued to exert himself on her behalf. He was one of the commissioners at the conference at York in 1568. He appeared as her ambassador at the court of Elizabeth I to complain of the injustice done to her, and when he found he was not listened to he laid plans for her escape. He also projected a marriage for her with Thomas, Duke of Norfolk, which ended in the execution of that nobleman. For this he was put under the charge of the bishop of London, and then of the bishop of Ely (in Holborn), and afterwards imprisoned in the Tower of London. During his confinement he collected materials for his history of Scotland, by which his name is now chiefly known. In 1571 he presented the latter portion of this work, written in Scots, to Queen Mary to amuse her in her captivity. He also wrote for her use his "Piae Consolationes", and the queen devoted some of the hours of her captivity to translating a portion of it into French verse.