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Fane was born at Curzon House, 8 South Audley Street, Mayfair, London, the second and youngest son of Francis Fane, 12th Earl of Westmorland and Lady Adelaide Ida, daughter of Richard Curzon-Howe, 1st Earl Howe.
Rupert Gunnis, Eridge Castle and the Family of Nevill, unknown date & publisher.
Henry Fane (1669–1726) of Brympton, Somerset was a great-grandson of Francis Fane, 1st Earl of Westmorland and father of Thomas Fane, 8th Earl of Westmorland.
Henry Fane was the grandson of Francis Fane, a Restoration dramatist, and son of Henry Fane (1669–1726) of Brympton and Anne, sister and coheir of John Scrope of Wormsley.