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Lord Nelson was married on 28 July 1845 at St George Hanover Square church to Lady Mary Jane Diana Agar, daughter of the second Earl of Normanton and granddaughter of the eleventh Earl of Pembroke.
Prior to his death in 1816, he bequeathed his vast estates to his cousin, the 11th Earl of Pembroke.
The site of the church was given by George Augustus Herbert, 11th Earl of Pembroke along with £1,000 towards the construction.