[2] Vaux was particularly devoted to Father Henry Garnet, a Jesuit priest who was later executed for his foreknowledge of the Gunpowder Plot.

Both Vaux and Tresham have been suspected of being the author of an anonymous letter to William Parker, 4th Baron Monteagle, warning him to avoid Parliament on 5 November 1605, the day that the Gunpowder Plotters intended to blow it up.

[1][3] This letter, which Monteagle gave to Robert Cecil, 1st Earl of Salisbury, was instrumental in foiling the plot.

The messages were written in orange juice; historian Anstruther argues that their illegibility, noted by Garnet, indicates that Vaux was near-sighted and unaccustomed to writing.

Under interrogation, she proclaimed herself innocent of treason but admitted to receiving conspirators at her houses; she was released in August.