[citation needed] Sophie was born in Düsseldorf as the only daughter of Prince William of Saxe-Weimar-Eisenach and his wife Princess Gerta of Ysenburg and Büdingen in Wächtersbach.

On her mother's side, Sophie was a great granddaughter of Frederick William, Elector of Hesse's morganatic marriage to Gertrude Falkenstein, Princess of Hanau.

[citation needed] Due to her parents' lack of wealth, Sophie was brought up at Heidelberg, where they had settled for economy's sake; their family was mainly supported by gifts from the Weimar court.

[3] She used to frequent the houses of notable people in the town; it was there that she met Hans von Bleichroeder, a rising lawyer and the son of a powerful banker.

[3] Just a few years previously, Hermann had lost his title and style, becoming known as Count Ostheim, after a long period of angering his family through extensive spending and later entering into a morganatic marriage with an actress.

[6] Another explanation, widely reported in newspapers as fact, is that her parents were agreeable to the marriage but the presiding head of the family, William Ernest, Grand Duke of Saxe-Weimar-Eisenach, a third cousin to the Princess, was not — not publicly mentioning von Bleichröder's Judaism as the reason, but that he was "inferior" – in the sense of being a mere Baron in a family only recently ennobled to that low rank, and a working man – as a banking executive.

The Grand Duke would approve the marriage only if Sophie would first relinquish the title of Princess of Saxe-Weimar-Eisenach, essentially ceasing to use the family name and any royal honors.

[14] Some newspapers hinted that the stress or guilt of this tragedy may have been instrumental in her suicide a month later, saying "Every effort was made to hush up the affair, owing to fear that the Princess's movements would become known to her father.

Apparently he had not bothered to notify Sophie of these changes in his feelings and she discovered these developments only by reading of his marriage in a newspaper; she was so distraught that she killed herself that night.

It was widely but erroneously believed that she was driven to suicide by the presumed opposition of her parents to Bleichröder, who, for his part, did not attempt to correct that impression "with evident satisfaction [of] the prestige he derived from his position as the man for whose sake a Royal Princess had shot herself.

"[16] This version has not received any currency, although a different story, to the effect that the Princess had previously been carrying on a doomed romance with a Lt. Edler Herr von Putlitz, has circulated.

Several days after her death, her father released a statement:"Baron Hans von Bleichröder, like all acquaintances of the House of Saxe-Weimar, had a farewell view of the departed, but he was expressly forbidden to take part in the funeral or to attend the cremation.