 He was invested as an Officer of the Most Venerable Order of the Hospital of St John of Jerusalem (OStJ).On 6 July 1882, Proby married Lady Margaret Frances Hely-Hutchinson, daughter of Richard Hely-Hutchinson, 4th Earl of Donoughmore, and had by her four sons and a daughter.Proby died in 1931 at his residence Elton Hall.