It depicts a woman wearing a black lace veil on her head and a dark dress with a low-cut bodice.

The details of the costume suggest that the sitter for The Lady with a Fan could be Marie de Rohan, the duchess of Chevreuse (1600–1679), because she was dressed according to French fashion of the late 1630s.

There is one piece of evidence that Velázquez painted a Frenchwoman, a letter dated January 16, 1638, which stated that he once portrayed the exiled duchess of Chevreuse, who was then living in Madrid under the protection of Philip IV, after having escaped from France disguised as a man.

But some experts argued that no resemblance could be discerned with other portraits of the duchess, and it was assumed that the costume of the woman in The Lady with a Fan revealed a Spanish tapada, which was a precursor to the majas of the 18th century.

But because there was no earlier record of the painting in any Spanish collection, it is also possible that he acquired it either in England or in Italy, where he spent most of the period of the Napoleonic Wars, or even in France, where Bonaparte met the then duke of Luynes, a direct descendant of the duchess of Chevreuse.