In April 1879, Langtry had an affair with Prince Louis of Battenberg, while she was involved with Arthur Clarence Jones (1854–1930), an old friend. In June 1880, she became pregnant. Her husband was not the father; she led Prince Louis to believe that he was. When the prince told his parents, they had him assigned to the warship HMS Inconstant. The Prince of Wales gave her a sum of money, and Langtry went into her confinement in Paris, accompanied by Arthur Jones. On March 8, 1881, she gave birth to a daughter, whom she named Jeanne Marie.
The discovery in 1978 of Langtry's passionate letters to Arthur Jones and their publication by Laura Beatty in 1999 support the idea that Jones was the father of her daughter. Prince Louis' son, Earl Mountbatten of Burma, had always maintained that his father was the father of Jeanne Marie.