There has long been speculation about Anna of Denmark's faith. How and when the consort of King James VI and I came first to use the Catholic liturgy and then to convert from Lutheranism is explained here in detail. Powerful women within the queen's household were crucial to this change of faith, which gave hope to Catholics that Anna might convert her children and persuade the king to be more tolerant towards them in his multiple kingdoms. Even though these hopes were unrealised, the possibility is explored that she sought to found a monastery in France. That she had remained Catholic during such a turbulent era in British religious history is remarkable.