Lady Mary Finch was the eighth child of Daniel Finch, 7th Earl of Winchilsea, 2nd Earl of Nottingham, by his second wife, Anne Hatton. She was named after an older half-sister, also called Lady Mary Finch. In 1716, she married the Whig politician, Thomas Watson-Wentworth, 1st Marquess of Rockingham (1693-1750), and had five children by him, one of whom, Charles Watson-Wentworth, 2nd Marquess of Rockingham, later became Prime Minister from 1765 to 1766.