Supernatural experts say she died of the same disease shortly after and continues to haunt the halls of the royal palace in Surrey.
The ghost, which has not been spotted for years, has emerged again this week in a 12-year-old girl's photograph.
Holly Hampsheir was taking photos of the 16th century stately home during a visit last week.
But when she looked back at the snaps on her iPhone she saw a mysterious figure lurking by an old fire place.
The spooky shadow is seen with long, flowing hair standing over her cousin Brook McGee, also 12, as she admires the Elizabethan building.
“I was totally freaked out," Brook, of Hornchurch, Havering, told The Sun.
“I didn’t see anything. People say the room goes cold when ghosts appear but we had no idea."
Holly’s mum Angie said she was "speechless".
The 48-year-old added: "There was no one else in that room and she’s floating through the rope."
According to records, The Grey Lady was first spotted in 1829 – the same year her tomb was moved from the palace.
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