Henry Lee, the eldest of four sons of Sir Anthony Lee (1511–1549) the MP for Buckinghamshire, and Margaret, daughter of Sir Henry Wyatt of Allington Castle, was born in March 1533. He was privately educated by his uncle, Sir Thomas Wyatt.

He entered the service of Henry VIII at the age of fourteen. He also worked for Edward VI and Mary Tudor and was knighted on 2nd October 1553. The following year he married Anne, daughter of the statesman William Paget. His biographer, Ewan Fernie, pointed out: "This brought Lee immunity from being persecuted for his protestantism during Mary's reign, and Anne was to bear him three children; but it was not a happy marriage. Two sons, John and Henry, died young, and a daughter, Mary, after a scandalous elopement, followed them childless to the grave. Anne was of Catholic stock, Lee staunchly committed to the new reformed faith."

Lee was a regular visitor to Europe where he sent diplomatic dispatches to Robert Dudley and William Cecil. While he was in Antwerp he had his portrait painted by Anthonis Mor. Lee prospered under Elizabeth and in 1573 he was appointed lieutenant of the royal manor of Woodstock. She visited his home several times, including a long stay in 1575. Lee also organized Elizabeth's tournaments and in 1580 became Master of the Armoury.

A major landowner in Oxfordshire he made himself unpopular in 1596 by enclosing many commons. After the death of Queen Elizabeth he was there to honour the new monarch's arrival in London. In December 1603 James I awarded Lee £200, which afterwards became an annuity. Aged seventy-one, Lee attended James's first tilt on 24th March 1604.

Henry Lee died a very wealthy man in February, 1611.