Anne was born 5 December 1556, the elder daughter of William Cecil, later created 1st Baron Burghley, the leading member of Queen Elizabeth's Privy Council, by his second wife, Mildred Cooke, a woman noted for her learning and translations from the Greek.

When these marriage negotiations failed, she instead married Edward de Vere, 17th Earl of Oxford on 16 December 1571 at Whitehall Palace, in the presence of Queen Elizabeth.

Upon his return, he accused Anne of adultery and declared the baby to have been fathered by another man, reputedly because Burghley failed to save his cousin, Thomas Howard, 4th Duke of Norfolk, from execution.

Oxford was soon released, and in December 1581 Anne began a correspondence with him; and by January 1582, he was reconciled with her, acknowledging the paternity of her daughter Elizabeth.

Although this has been contested by Stephen May as the poems are written in Southern's style and draw heavily on his favourite poet, Philippe Desportes,[6] Louise Schleiner has argued for Anne's authorship.

[citation needed] Anne Cecil is the narrator in Peter Hildebrandt's alternate history novel, The Rest is Silence, the story of her husband, the 17th Earl of Oxford.