Catherine was my 12th great grandmother.
Catherine was born at Hampton Court Palace in London, England. She was the daughter of Lady Mary Boleyn and supposedly the illegitimate Daughter of King Henry VIII.

It was never proven whether she was the Daughter of King Henry VII, but in recent times several historians have suggested and have come up with evidence supporting that theory:

The circumstantial case presented for the Careys being children of Henry VIII is founded on consideration of the following:

Royal grants from Henry VIII to William Carey delineate the period of the king's affair with Mary (Boleyn) Carey: from at least February 1522 to May 1526.4
Catherine Carey, Mary (Boleyn) Carey's daughter, was born in about 1524, not (as has been thought) in about 1530.
Henry Carey was called "the Kynge's son" in a contemporary (1535) source.
Evidence of the non-sexual marriage of William and Mary (Boleyn) Carey.
The "paternal" interest shown by Henry VIII in Catherine and Henry Carey as well as the extraordinary favor shown them by Elizabeth I.
The significance of the name "Hunsdon" as used by Henry Carey.
Reasons the Careys' royal paternity would never have been acknowledged.

Catherine Carey, Lady Knollys was born in the midst of her mother's affair with Henry VIII.31

That Henry VIII sought to provide for Catherine Carey is clear. Again, in about November 1539, at about the age of 15 and despite the Boleyn's fall from favour in 1536, Catherine Carey was appointed a maid of honor to Anne of Cleves. This fact is quite striking since in 1539 there would have been no known reason for the preferment of this insignificant niece of the fallen Queen Anne Boleyn. In fact, a close study of the State Papers and other records reveals the fact that the family of the Boleyns (or Bullens) suffered constant persecution and spoliation at the hands of Henry VIII, and afterwards of Elizabeth. By April/May 1540, she was married to (later: Sir) Francis Knollys, born by 1512, died 19 July 1596.33 With his marriage to Catherine Carey in 1540, Francis Knollys was created Gentleman Pensioner, his first royal appointment. Also upon their marriage, there was assurance of the manor of Rotherfield Grey, Oxon, to Fras. Knolles, Esq., and Katharine his wife" by Act of Parliament in April/May 1540.34

Catherine was Maid of Honour to Anne of Cleves and Catherine Howard. She was later lady-in-waiting to her cousin or possibly half sister, Elizabeth I.

In 1539, she was married to Sir Francis Knollys. Her husband was named a Knight of the Garter in 1593, but he had been knighted in 1547. From that date, Catherine became known as Lady Knollys. They had a total of twelve children:

Lettice Knollys (c. 1540 - 25 December, 1634). She married first Walter Devereux, 1st Earl of Essex, secondly Robert Dudley, 1st Earl of Leicester and thirdly Sir Christopher Blount.
Sir Henry Knollys (c. 1542 - 1583). He was a Member of Parliament representing first Shoreham, Kent (1563) and then Oxfordshire. Esquire of the Body to Elizabeth I. He was married to Margaret Cave (1549 - 1600), daughter of Sir Ambrose Cave and Margaret Willington.
Elizabeth Knollys. She married Sir Thomas Leighton, son of John Leighton of Watlesburgh and Joyce Sutton, in 1578. Her husband served as governor of Jersey.
William Knollys, 1st Earl of Banbury (c. 1544 - 25 May, 1632). He was married first to Dorothy Bray and secondly to Elizabeth Howard, daughter of Thomas Howard, 1st Earl of Suffolk and his second wife Catherine Knyvett.
Edward Knollys (1546 - 1580). He was a Member of Parliament.
Sir Robert Knollys (1547 - 1626). Member of Parliament representing Reading, Berkshire (1572 - 1589), Brecknockshire (1589 - 1604), Abingdon, Oxfordshire (1604, 1624 - 1625) and finally Berkshire (1626). He married Catherine Vaughan, daughter of Sir Rowland Vaughan of Porthamel.
Richard Knollys (1548 - 21 August, 1596). Member of Parliament representing first Wallingford (1584) and then Northampton (1588). Married Joan Heigham, daughter of John Heigham of Cliffords.
Sir Thomas Knollys (d. 1596). Better known for service in the Eighty Years' War (1568 - 1648). Governor of Ostend in 1586. Married Odelia de Morana, daughter of John de Morada, Marquess of Bergen.
Sir Francis Knollys "the Young" (c. 1552 - 1643). Member of Parliament representing first Oxford (1572 - 1588) and then Berkshire (1597, 1625). Married Lettice Barrett, daughter of John Barrett of Hanham. Father-in-law of John Hampden.
Anne Knollys (c. 1553 - last reported alive 30 August , 1608). Married Thomas West, 2nd Baron De La Warr. Mother to Thomas West, 3rd Baron De La Warr.
Catherine Knollys (c. 1560 - 20 December, 1620). Married first Gerald Fitzgerald, Baron Offaley and secondly Sir Phillip Butler of Watton Woodhall, a possible descendant of James Butler, 3rd Earl of Ormonde.
Cecily Knollys. No known descendants.

Lady Knollys passed away on January 15, 1568 at Hampton Court Palace and was given what can only be described as a "royal" funeral by the bereaved Queen Elizabeth I. The opulent funeral accorded Lady Knollys by the queen (who paid £640 for it, under the Privy Seal) was overseen by the Earl Marshal the Duke of Norfolk and the Lord Treasurer the Earl of Leicester, Lady Knollys's funeral documents at Westminster Abbey were found with those of King Henry III, King Henry VI, Queen Mary II, King William III, Prince George of Denmark, Queen Anne, and Queen Caroline. The only non-royal person in this group was Lady Knollys.
Catherine Knollys was buried in April 1568 in St. Edmund's Chapel, Westminster Abbey at the queen's expense.

Lady Catherine Carey's 10th-great-granddaughters include Queen Elizabeth II (through her mother) and 12th-great-granddaughters include, coincidentally, the Queen’s daughter-in-law, Princess Diana (Spencer), and granddaughter-in-law, Kate (Middleton).

Catherine was my 12th great grandmother.
Catherine was born at Hampton Court Palace in London, England. She was the daughter of Lady Mary Boleyn and supposedly the illegitimate Daughter of King Henry VIII.

It was never proven whether she was the Daughter of King Henry VII, but in recent times several historians have suggested and have come up with evidence supporting that theory:

The circumstantial case presented for the Careys being children of Henry VIII is founded on consideration of the following:

Royal grants from Henry VIII to William Carey delineate the period of the king's affair with Mary (Boleyn) Carey: from at least February 1522 to May 1526.4
Catherine Carey, Mary (Boleyn) Carey's daughter, was born in about 1524, not (as has been thought) in about 1530.
Henry Carey was called "the Kynge's son" in a contemporary (1535) source.
Evidence of the non-sexual marriage of William and Mary (Boleyn) Carey.
The "paternal" interest shown by Henry VIII in Catherine and Henry Carey as well as the extraordinary favor shown them by Elizabeth I.
The significance of the name "Hunsdon" as used by Henry Carey.
Reasons the Careys' royal paternity would never have been acknowledged.

Catherine Carey, Lady Knollys was born in the midst of her mother's affair with Henry VIII.31

That Henry VIII sought to provide for Catherine Carey is clear. Again, in about November 1539, at about the age of 15 and despite the Boleyn's fall from favour in 1536, Catherine Carey was appointed a maid of honor to Anne of Cleves. This fact is quite striking since in 1539 there would have been no known reason for the preferment of this insignificant niece of the fallen Queen Anne Boleyn. In fact, a close study of the State Papers and other records reveals the fact that the family of the Boleyns (or Bullens) suffered constant persecution and spoliation at the hands of Henry VIII, and afterwards of Elizabeth. By April/May 1540, she was married to (later: Sir) Francis Knollys, born by 1512, died 19 July 1596.33 With his marriage to Catherine Carey in 1540, Francis Knollys was created Gentleman Pensioner, his first royal appointment. Also upon their marriage, there was assurance of the manor of Rotherfield Grey, Oxon, to Fras. Knolles, Esq., and Katharine his wife" by Act of Parliament in April/May 1540.34

Catherine was Maid of Honour to Anne of Cleves and Catherine Howard. She was later lady-in-waiting to her cousin or possibly half sister, Elizabeth I.

In 1539, she was married to Sir Francis Knollys. Her husband was named a Knight of the Garter in 1593, but he had been knighted in 1547. From that date, Catherine became known as Lady Knollys. They had a total of twelve children:

Lettice Knollys (c. 1540 - 25 December, 1634). She married first Walter Devereux, 1st Earl of Essex, secondly Robert Dudley, 1st Earl of Leicester and thirdly Sir Christopher Blount.
Sir Henry Knollys (c. 1542 - 1583). He was a Member of Parliament representing first Shoreham, Kent (1563) and then Oxfordshire. Esquire of the Body to Elizabeth I. He was married to Margaret Cave (1549 - 1600), daughter of Sir Ambrose Cave and Margaret Willington.
Elizabeth Knollys. She married Sir Thomas Leighton, son of John Leighton of Watlesburgh and Joyce Sutton, in 1578. Her husband served as governor of Jersey.
William Knollys, 1st Earl of Banbury (c. 1544 - 25 May, 1632). He was married first to Dorothy Bray and secondly to Elizabeth Howard, daughter of Thomas Howard, 1st Earl of Suffolk and his second wife Catherine Knyvett.
Edward Knollys (1546 - 1580). He was a Member of Parliament.
Sir Robert Knollys (1547 - 1626). Member of Parliament representing Reading, Berkshire (1572 - 1589), Brecknockshire (1589 - 1604), Abingdon, Oxfordshire (1604, 1624 - 1625) and finally Berkshire (1626). He married Catherine Vaughan, daughter of Sir Rowland Vaughan of Porthamel.
Richard Knollys (1548 - 21 August, 1596). Member of Parliament representing first Wallingford (1584) and then Northampton (1588). Married Joan Heigham, daughter of John Heigham of Cliffords.
Sir Thomas Knollys (d. 1596). Better known for service in the Eighty Years' War (1568 - 1648). Governor of Ostend in 1586. Married Odelia de Morana, daughter of John de Morada, Marquess of Bergen.
Sir Francis Knollys "the Young" (c. 1552 - 1643). Member of Parliament representing first Oxford (1572 - 1588) and then Berkshire (1597, 1625). Married Lettice Barrett, daughter of John Barrett of Hanham. Father-in-law of John Hampden.
Anne Knollys (c. 1553 - last reported alive 30 August , 1608). Married Thomas West, 2nd Baron De La Warr. Mother to Thomas West, 3rd Baron De La Warr.
Catherine Knollys (c. 1560 - 20 December, 1620). Married first Gerald Fitzgerald, Baron Offaley and secondly Sir Phillip Butler of Watton Woodhall, a possible descendant of James Butler, 3rd Earl of Ormonde.
Cecily Knollys. No known descendants.

Lady Knollys passed away on January 15, 1568 at Hampton Court Palace and was given what can only be described as a "royal" funeral by the bereaved Queen Elizabeth I. The opulent funeral accorded Lady Knollys by the queen (who paid £640 for it, under the Privy Seal) was overseen by the Earl Marshal the Duke of Norfolk and the Lord Treasurer the Earl of Leicester, Lady Knollys's funeral documents at Westminster Abbey were found with those of King Henry III, King Henry VI, Queen Mary II, King William III, Prince George of Denmark, Queen Anne, and Queen Caroline. The only non-royal person in this group was Lady Knollys.
Catherine Knollys was buried in April 1568 in St. Edmund's Chapel, Westminster Abbey at the queen's expense.

Lady Catherine Carey's 10th-great-granddaughters include Queen Elizabeth II (through her mother) and 12th-great-granddaughters include, coincidentally, the Queen’s daughter-in-law, Princess Diana (Spencer), and granddaughter-in-law, Kate (Middleton).