A contemporary scandal made her the mistress successively of Thomas Wentworth, 1st Earl of Strafford, and of John Pym, his parliamentary opponent.

Strafford valued her highly, but after his death in 1641, possibly in consequence of a revulsion of feeling at his abandonment by the court, she devoted herself to Pym and the interests of the parliamentary leaders, to whom she communicated the king's most secret plans and counsels.

[2] In 1647, she attached herself to the interests of the moderate Presbyterian party, which assembled at her house, and in the Second Civil War showed great zeal and activity in the royal cause, pawning her pearl necklace for £1500 to raise money for Lord Holland's troops, establishing communications with Prince Charles during his blockade of the Thames, and making herself the intermediary between the scattered bands of royalists and the queen.

As a result, her arrest was ordered on 21 March 1649, and she was imprisoned in the Tower of London, where she maintained a correspondence in code with the king through her brother, Lord Percy, until Charles went to Scotland.

[3] François de La Rochefoucauld mentioned in his Memoirs an anecdote he was told by Marie de Rohan, in which Lucy Hay stole some diamond studs (a present of the king of France to Anne of Austria) the queen had given to George Villiers, 1st Duke of Buckingham from the duke as revenge because he had loved her before he loved the queen of France.