Lady Catherine's first husband was James Annesley, 3rd Earl of Anglesey, whom she married on 28 October 1699 at Westminster Abbey.
[8][9] On 16 March 1706, the widowed countess married, as his third wife, John Sheffield, 1st Duke of Buckingham and Normanby; the wedding took place at St Martin-in-the-Fields.
The duke, a great supporter of King James, was more than thirty years older than his new duchess, and they had three children, two of whom died in infancy: The duke's previous marriages were said to have been unhappy, but he doted on Catherine, with their friend Alexander Pope claiming that "whenever they have had any difference... he could never stay till suppertime... nor till she returned back of herself into his room, but constantly left his books or business to come after her, and said, "Child, you and I should never fall out; and though I still think myself in the right, yet you shall have it in your way."
When the duke died in 1721, she called on Pope and Francis Atterbury to produce a memorial edition of his poems and other works.
[6] As all of Catherine's children pre-deceased her, the dukedom became extinct and her late husband's titles and estates passed to his illegitimate son, Sir Charles Herbert Sheffield, 1st Baronet.