In 1835 a wave of anti-Catholic resentment struck the US due to massive Catholic immigration from Europe. Consequently, the Connellys delved into a study of Catholic beliefs and practices. Soon Pierce had become so uncertain in his own beliefs that he resigned from his parish and went to St. Louis to consult with Bishop Joseph Rosati about conversion. In doing so, Pierce sacrificed a promising career as well as the financial security of his family. His wife however supported him fully: "I am ready to submit to whatever he believes to be the path of duty." Pierce now took his family to Rome before committing himself. Cornelia, however, was already received into the Catholic Church while waiting in New Orleans for passage to Italy. In Rome, Pierce petitioned for admittance to the Church so compellingly that, after meeting Pierce in a personal audience, Pope Gregory XVI was moved to tears. Two months later, he was received into the Church. Ordination was a different matter. Celibacy being required of priests in the Church's Latin rite, Vatican officials suggested that he consider the Eastern rite instead, which ordains married men – particularly as Cornelia was pregnant again. Being an ambitious man, Pierce ignored the advice. There were no Eastern-rite parishes in the US for him to serve, and only celibates can become Eastern-rite bishops. The family were otherwise happy in Rome, where they stayed in the "palazzo" of the English Catholic John Talbot, 16th Earl of Shrewsbury. The Connellys moved on to Vienna, where their third child John Henry was born. But in July, a bank crisis in the US forced Pierce to return to Natchez to find employment. Offered a position at a Jesuit college in Grand Coteau, Louisiana, he taught English, while 29-year-old Cornelia taught music at an academy for girls. For the first time the couple were poor, but by all accounts quite content.