Her "colourful" life is often contrasted with that of her daughter-in-law, Jane Stanhope, Countess of Harrington, who was viewed as a respectable member of British high society.

Together they had seven children, including Isabella Molyneux, Countess of Sefton and Charles Stanhope, 3rd Earl of Harrington.

[3] Lady Caroline and her husband were both notorious for their extramarital affairs, but they chose to stay married to prevent the scandal of divorce.

Lady Caroline instead founded her own group, The New Female Coterie, which included other members of the British upper class who were shunned by high society due to their reputations, particularly for women who had been guilty of committing adultery.

[8][9] The nickname was a reference to Empress Messalina, the controversial wife of Roman Emperor Claudius, and to the Harrington home in St James's Park, located near the stable yard.