Sir Henry married Henrietta FitzJames (1667 – 3 April 1730), daughter of King James II by his mistress Arabella Churchill; their son was James Waldegrave, 1st Earl Waldegrave (1684–1741).
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He was her second husband, and after his death she married George Granville Vernon Harcourt of Nuneham Park, Oxfordshire, and later Chichester Parkinson-Fortescue, 1st Baron Carlingford.
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