Born on 11 September 1880 at the Royal Palace of Madrid, Mercedes was the first child of King Alfonso XII and his second wife, Maria Christina of Austria.

[2] Her godmother was Queen Isabella II, her paternal grandmother, who came from retirement in Paris to attend the birth of her first grandchild.

Antonio Cánovas del Castillo, then head of the government, who disliked Maria Christina and did not want the crown to pass again to a female after the disastrous reign of Isabella II, decided to ignore the newborn.

[5][6] Mercedes made her first public appearance at the royal court by the hand of her mother when Queen Maria Christina was declared regent.

[8] The Queen offered a party in the Royal Palace to mark the debut in society of her daughters on 9 May 1899, the event having been delayed due to the war.

[10] Prince Carlos, Queen Maria Christina's first cousin once removed, belonged to the deposed royal family of the Two Sicilies and had arrived in Spain years earlier in order to follow a military career in the Spanish army.

It was considered paramount to marry Mercedes to a member of the Bourbon family in order to avoid a change of the dynasty in case she succeeded her brother.

It immediately faced the strong opposition of the liberal party, the republican faction and a wide spectrum of the Spanish society.

The Archbishop of Valladolid, one of Spain’s most prominent prelates, wrote a letter to the Queen warning her against the dire consequences if the marriage would take place.

[13] The Queen wrote him back: " Monsignor, dedicate yourself to direct your diocese and praying, which are your main obligations, perhaps this way none of the catastrophe you predict will happen".

[13] Mercedes herself expressed her frustration to the strong opposition to her choice of groom in a letter to her aunt Paz: "I am happy to marry him, but I am also upset at those who have created such a fuss and made mother suffer for this... all because his father fought alongside don Carlos.

[15][16] On the day of the wedding, the streets leading to the Royal Palace were barricaded for fear of the protesters and a vast number of troops deployed through the capital.

[18] Peritonitis set in and on the early hours on 16 October 1904 Mercedes gave birth prematurely to her third child, Princess Isabella Alfonsa (1904–1985).

[18] The health of the mother was so seriously compromised that little attention was given to the child, who was believed to have been stillborn until the young King Alfonso realized the baby was alive.

[18] Mercedes' three children were left in the care of Queen Maria Christina and raised in the court of King Alfonso XIII.