Born Penelope Devereux at Chartley Castle in Staffordshire, she was the elder daughter of Walter Devereux, 2nd Viscount Hereford, later 1st Earl of Essex and Lettice Knollys, daughter of Sir Francis Knollys and Catherine Carey, and sister of William Knollys, later 1st Earl of Banbury. Catherine Carey was the daughter of Lady Mary Boleyn by either her husband Sir William Carey, Gentleman of the Privy Chamber, or her lover King Henry VIII.
Her father was created Earl of Essex in 1572. Penelope was a child of fourteen when Sir Philip Sidney accompanied her distant cousin Queen Elizabeth I on a visit to Lady Essex in 1575.
Penelope's brother, Robert, Viscount Hereford, inherited the Earldom of Essex on their father's death in 1576, and Penelope, her sister Dorothy, and younger brother Walter were entrusted to the guardianship of their kinsman Henry Hastings, 3rd Earl of Huntingdon.In 1578 their widowed mother married the Queen's favourite, Robert Dudley, Earl of Leicester. Perhaps the marriage of Lady Essex with the earl of Leicester, which destroyed Philip Sidney's prospects as his uncle Leicester's heir, had something to do with the breaking off of the proposed match with Penelope.
In January 1581, she arrived at court accompanied by her guardian's wife, Catherine, Countess of Huntingdon, who was Leicester's sister and Sidney's aunt. In March 1581 Huntingdon as her guardian secured the queen's assent through Lord Burghley, Master of the Court of Wards, for her marriage with Robert Rich, 3rd Baron Rich (later 1st Earl of Warwick).
Love affair and charge of treason
Penelope's marriage to Rich was unhappy, and by 1595 she had begun a secret affair with Charles Blount, Baron Mountjoy. Lord Rich took no action during the lifetime of Penelope's brother, the powerful Earl of Essex, who became the aging Queen's favourite in the years after the death of Leicester in 1588.
But Penelope was tainted by association with her brother's plotting. Essex shocked many people, after the failure of the Earl of Essex Rebellion, by denouncing her as a traitor, and after his execution for treason in 1601, Lord Rich had Penelope and her children by Mountjoy cast out. Mountjoy, like Penelope, had been implicated in the Essex rebellion, but the Queen, who wished to show as much clemency as possible to the rebels, took no action against either of them. Lady Rich moved in with her lover, and the couple began a very public relationship. Mountjoy was created Earl of Devonshire on the accession of James I, and Lady Rich was in high favour at court. She was among the ladies who escorted Anne of Denmark on her entry to London in 1603 and served Anne as a Lady of the Bedchamber.
In 1605, Rich sued for a divorce, and Penelope wanted to marry Blount and legitimise their children. In the divorce proceedings, she publicly admitted to adultery. The divorce was granted, but the requests to remarry and legitimise her children were refused. She married Blount in a private ceremony conducted by his chaplain, William Laud, afterwards Archbishop of Canterbury, on 26 December 1605 at Wanstead House in London. This proceeding, carried out in defiance of canon law, was followed by the disgrace of both parties, who were banished from court by King James. The couple continued to live together as husband and wife with their children until his death a few months later. Blount died on 3 April 1606 and Penelope on 7 July 1607.