[1][2] When she was twelve years old, she carried letters from her father to a Scottish conspirator in the Rye House Plot, Robert Baillie of Jerviswood, who was then in prison.

He remained in hiding for some time in the crypt of Polwarth Church, where his daughter smuggled food to him; but on hearing of the execution of Baillie (1684), he fled to the United Provinces, where his family joined him soon after.

What is known for certain is that after returning to Scotland, Lady Grizel turned down the offer to be one of Queen Mary's maids of honour,[1] and insisted to her parents on marrying Baillie over a more advantageous match.

Although not intended for publication, the biography appeared in print in 1809 in Observations on the Historical Work of the Right Honorable Charles James Fox under the title, "Lady Murray's Narrative".

[3] Lady Grizel also was memorialized by a Scottish poet who claimed to be a distant relative,[8][9] Joanna Baillie, in a poem first published in 1821 in Metrical Legends of Exalted Characters.