 Nevill conformed outwardly to the Church of England, but was generally believed to be a Roman Catholic at heart, a belief which could only have been strengthened by his second marriage to Catherine Vaux, who belonged to a notable recusant family.Her mother, Elizabeth Vaux (née Roper) sheltered Catholic priests at the family home at Harrowden Hall, and her brother Lord Vaux fled the country after being suspected of complicity in the Gunpowder Plot, ; on his return to England in 1611 he was imprisoned for two years.Later generations of the Nevill family openly professed the Catholic faith, and followed Henry's example in marrying into well-known recusant families like the Giffords and Chamberlains.