Beginning in 1587, Carey began an affair with Emilia Lanier, daughter of a Venetian-born court musician and converso (a Jew forced to convert to Christianity but secretly Jewish). Carey, 45 years older than Lanier, was Elizabeth's Lord Chamberlain at the time of their affair and a patron of the arts and theatre (he was the patron of Shakespeare's theatre company, known as the Lord Chamberlain's Men, but not until two years after their affair was over).
Records indicate that Carey gave her a pension of £40 a year. Lanier apparently enjoyed her time as Carey's mistress. An entry from Forman's diary reads "[Lanier] hath bin married 4 years/ The old Lord Chamberlain kept her longue She was maintained in great pomp... she hath 40£ a yere & was welthy to him that married her in monie & Jewells". In 1592, when she was 23, Lanier became pregnant with Carey's child. Carey paid her off with a sum of money and then married her off to her first cousin once removed, Alfonso Lanier, a Queen's musician. Church records show the two were married in St. Botolph's church, Aldgate, on 18 October 1592. Lanier gave birth to Carey's son, Henry, in 1593 (presumably named after his father).