When threats on the life of his brother, Carlos, became known to him, he adopted the habit of arming himself with a revolver, night and day, making himself ready to defend his family whenever it might be necessary.

After the proclamation of the Portuguese First Republic in 1910, Afonso went into exile abroad, first at Gibraltar with his nephew, the deposed king, Manuel II, and afterwards to Italy with his mother, Queen Maria Pia.

Suffering, like his mother, the dowager Queen Maria Pia of Savoy, from debilitating mental and emotional health after the Regicide of 1908, Afonso de Bragança married, in Rome on 26 September 1917, a twice-divorced, and once-widowed, American heiress Nevada Stoody Hayes.

The royalists were apprehensive about the prospects for a legitimate Braganza heir, and their anxiety redoubled at the news of Afonso's marriage to a commoner, especially one of such a dubious reputation.

She convinced Afonso to marry her again at a Madrid hotel, where a consular officer of the Portuguese Republic performed the civil ceremony, with no family or friends as witnesses.

After his marriage, his pension was cut by Manuel II, and Dom Afonso, also rejected by his relatives in the Italian royal family, began to live in obscurity and sickness during his final days.

After he and Manuel II had both died (1932), his widow demanded that the Portuguese government recognize her rights to a substantial part of the House of Braganza's patrimony.

Eventually, however, she proved a substantial portion of her claim, and she was officially granted the right to remove many objects of art and expensive goods from the Portuguese royal palaces.