He was matriculated as a pensioner of St John's College, Cambridge, on 24 May 1558, and was made a student of the Inner Temple in November 1562, "where, being accommodated with all the parts of a gentleman, hee after retyred himself into the countrye", purchasing the estate of Goxhill in Lincolnshire from Lord Wentworth.
About 1592 his younger half-brother, John, a dissolute youth, took umbrage at Henry's endeavours to reform his habits, and, after repeatedly threatening his life, attempted to shoot him with a pistol.
Welby was deeply affected by this, and, taking "a very faire house in the lower end of Grub Street, near unto Cripplegate", he passed the rest of his life in absolute seclusion, never leaving his apartments or seeing anyone except his old maid-servant Elizabeth Villier.
[1][2] He married Alice, daughter of Thomas White of Wallingwells in Yorkshire and Nottinghamshire, and his wife Anne Cecil, sister of the first Lord Burghley.
Welby and Alice had one daughter, Elizabeth, his sole heiress, who was married at St Giles Cripplegate on 13 July 1598 to Sir Christopher Hildyard of Winestead in Yorkshire.