Henrietta was the third daughter of Thomas Thynne, 1st Marquess of Bath, and his wife, the former Lady Elizabeth Cavendish-Bentinck.
Henrietta's childhood was interrupted by a serious illness, as reported by Mary Granville in a letter of 1770:I am first going to Lady Weymouth, who is pretty well, but has been a good deal hurried with poor Miss H. Thynne's illness; the poor little creature has undergone much severer discipline than I thank God was necessary in your case – having been twice blooded and once blistered, but the doctors now think her much better.
They resided at the family seat, Bretby Hall in Derbyshire, which was rebuilt by the earl in about 1812.
The couple had two children: The countess was a Lady of the Bedchamber to Charlotte of Mecklenburg-Strelitz, queen consort of King George III of the United Kingdom, from 1807 until her own death in 1813.
[3] The countess died at the family's London home, Chesterfield House, Mayfair, aged 50 (though contemporary death notices describe her as 52).