Lambert and her husband became close friends of the banking heir and art collector Paul Mellon and his first wife, Mary Conover, who died of an asthma attack in 1946. After Bunny divorced Lloyd, she and Paul were married, on May 1, 1948. By this marriage, she became the stepmother of Timothy Mellon and Catherine Conover Mellon (later Mrs. John Warner and now known as Catherine Conover). Together the couple collected and donated more than a thousand works of art, mostly eighteenth- and nineteenth-century European paintings, to the National Gallery of Art and established the Yale Center for British Art. The couple bred and raced thoroughbred horses, including Sea Hero, winner of the 1993 Kentucky Derby.