Thynne responded to Queen Mary's orders of 19 July 1553, by proclaiming her queen at Warminster, where he was high steward, but under her reign he continued to live in Wiltshire.
He married Frances Isabella Catherine Vesey, daughter of Thomas Vesey, 3rd Viscount de Vesci, on 20 August 1861.
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At Lacock, as elsewhere, they were named for individuals "whose recognition in this way advertised the family's affinities": the best chamber was "the duke's chamber", probably signifying John Dudley, 1st Duke of Northumberland, whom Sharington had served, while "Lady Thynne's chamber", identified it with the wife of Sir John Thynne of Longleat, and "Mr Mildmay's chamber" was reserved for Sharington's son-in-law Anthony Mildmay of Apethorpe in Northamptonshire.
Known by the courtesy title Viscount Weymouth from birth, he was born at The Stable Yard, St James's, London, the eldest son of John Thynne, 4th Marquess of Bath, by the Honourable Frances Isabella Catherine Vesey, daughter of Thomas Vesey, 3rd Viscount de Vesci.