She was privately baptized in a drawing room at her parents' home in Mayfair, Gloucester House, on 26 June 1773, by Charles Moss, Bishop of St David's.

George III had been asked to stand as godfather, but he declined, upset by his brother's marriage to Maria Walpole, a commoner.

Sophia was an early patron of the new seaside town of St Leonard's on Sea, where she stayed at Gloucester Lodge on Quarry Hill in 1831.

On 22 July 1816, Sophia's brother, Prince William Frederick, Duke of Gloucester, married their cousin Princess Mary, a daughter of George III.

On their wedding day, the Prince Regent bestowed the style of Royal Highness on the Duke of Gloucester.