Consuelo Yznaga was born in 1853, in New York City,[5] the second of four children of diplomat Don Antonio Modesto Yznaga y del Valle and Ellen Maria Clement of Ravenswood Plantation, Concordia Parish, Louisiana, Louisiana, paternal granddaughter of José Antonio de Yznaga y Borrell wife María Francisca del Valle y Castillo and maternal granddaughter of the steamboat Captain and plantation owner Samuel Clement from Dutchess County, New York and Maria Augusta Little, daughter of William Little and wife Frances Boyd.

Her sister, María de la Natividad "Natica" Yznaga, married Sir John Lister-Kaye on 5 December 1881.

[9] Her brother, Fernando Yznaga,[10] was married to Mary Virginia "Jennie" Smith, sister of Alva Belmont, Consuelo's childhood best friend.

[12] The Duchess was a celebrated society figure, belonging to the intimate circle of Edward VII of the United Kingdom, formerly the Prince of Wales.

[16] In the autumn of 1875, she met George Montagu, Viscount Mandeville,[17] at her father's country home in Morristown, New Jersey.

Viscount Mandeville spent such a lot of cash on gambling and mistresses that his father the 7th Duke banished the couple to the family castle in Ireland until 1883.