His mother Janet Rannie was a sister-in-law of the influential Lord Melville, through her sister Elizabeth, and his father, Archibald Cockburn, was Sheriff of Midlothian and Baron of the Court of Exchequer.
In this popular magazine of its day he is described as: "rather below the middle height, firm, wiry and muscular, inured to active exercise of all kinds, a good swimmer, an accomplished skater, an intense lover of the fresh breezes of heaven.
"[4] He was a member of the famous Speculative Society, to which Sir Walter Scott, Henry Brougham and Francis Jeffrey belonged.
These constitute an autobiography of the writer interspersed with notices of manners, public events, and sketches of his contemporaries, of great interest and value.
He was one of the leaders of the Whig party in Scotland in its days of darkness prior to the Reform Act 1832, and was a close friend of Sir Thomas Dick Lauder.
[5] Whilst Lord Cockburn's name is usually associated with building conservation, this reputation is somewhat misplaced as his interest was very selective.
His large town house at 14 Charlotte Square, in the west end of the city, was designed by Robert Adam.