When Anne died there of plague in 1394, Richard cursed the place where they had found great happiness and razed the palace to the ground.
Henry IV had shown little interest in the ruined Sheen but his son Henry V (1413–1422) saw its reconstruction as a means of emphasising the dynastic link between his own House of Lancaster and that of Plantagenet, of unquestioned legitimacy, and decided at the same time to found the three monasteries pledged by his father all within one great building scheme, known as "The King's Great Work".
This "Great Work" commenced in the winter of 1413–14, comprising the new Sheen Palace and the following monasteries nearby:[2] In 1414, Henry V established the priory, designated "The House of Jesus of Bethlehem of Shene", for 40 monks of the Carthusian order.
It was built approximately half a mile to the north of the existing royal manor house or palace, and had 30 cells round a great court or cloister.
Sheen Priory was the last resting place of the body of James IV of Scotland, who was killed at the Battle of Flodden in 1513.
His body having been found on the battlefield by the victorious English, it was enclosed in a lead coffin and sent to London, and thence to Sheen Priory.