Anna Marie de Gonzague was born in Paris into a cadet French branch of the ducal House of Gonzaga, which ruled Mantua in northern Italy.

She probably remained in France even after her father's reclamation of the ancestral city of Mantua, considering the town was in ruin by 1630 (marred by war, plague and a brutal sacking by the Imperial army).

Her French mother, Catherine de Mayenne (who belonged to a junior branch of the royal House of Lorraine), died in 1618, when Anna was only about two years old.

Anna fell passionately in love with her maternal second cousin Henry II, Duke of Guise; later, she claimed to have contracted a secret marriage with him in 1639, which he denied.

[1] With Edward, she had three daughters: According to the Italian historian Signor G. B. Intra, Anne "held one of the most brilliant salons during the early years of the reign of Louis XIV.

Besides being illegitimately descended from a pope,[4] she was the granddaughter of Charles de Guise, head of the Catholic League of France, which his assassinated brother had formed.