She had 11 surviving siblings, the eldest of whom, Lettice Knollys, would later be banished from court after secretly marrying Queen Elizabeth's favourite, Robert Dudley, 1st Earl of Leicester.

In 1556, three years after the Catholic Princess Mary Tudor had become queen, Sir Francis Knollys and his wife were compelled to seek refuge in Frankfurt, Germany to escape the relentless Marian persecutions against known Protestants.

Following her marriage, Knollys, now styled Lady Leighton, continued to serve Queen Elizabeth in the same capacity as a Gentlewoman of the Privy Chamber,[1] despite her sister Lettice's banishment from court.

It shows her with curled hair; she is wearing a black hat with a feather, and an elaborate, ornamented gown, which are likely indications that she did not share her husband's dour Puritan sympathies.

Her black hat was displayed at the National Maritime Museum in an exhibition in 2003 which was curated by noted Tudor historian, David Starkey.

Penelope was the name of the real Lady Elizabeth's niece, the daughter of her brother, Sir Thomas Knollys, the Governor of Ostend.