Lady Catherine was the daughter of George Gordon, the 2nd Earl of Huntly, by his third wife, Lady Elizabeth, daughter of William Hay, the 1st Earl of Erroll, as indicated by the heraldry on Lady Catherine's Swansea Monument.

Safe at the Scottish Court in her youth, she probably only heard gossip and rumour concerning the war fought over the English throne and its new King, Henry VII. In July 1495, however, the supposed 'Duke of York' - Richard, the second son of King Edward IV of England who was generally thought to be dead - arrived in Scotland, from across the Irish Sea, in search of support for his cause: the taking of his rightful place upon the Throne of England. He was received by King James IV with full honours at Stirling Castle and, to cement their alliance, the monarch gave the Lady Catherine, in marriage to the Royal claimant in the November following.

Measures were soon planned for Catherine's new husband to invade England and the 'Duke' wrote to his ally, the Earl of Desmond in Ireland, to send forces to aid him in Scotland. In September 1496, an ambassador of the French King offered King James a hundred thousand crowns to send the 'Duke' to France. That same month, after much preparation, James made a raid into Northumberland on his ally's account, but returned in three days. For, though the Royal claimant had issued a proclamation as King, no Englishmen joined him. The Scots were not to be withheld from practising the barbarities of border warfare and the 'Duke', it is said, only excited ridicule by entreating James to spare those whom he called his subjects.

The Royal claimant remained in Scotland until July 1497, when he and Catherine embarked, apparently with more than one child from their union, from Ayr, in a Breton merchant vessel whose captain was under engagement to land them in England for some new attempt to seize the English Crown. The renowned seamen, Andrew and Robert Barton, also accompanied them in their own vessels. The rebels in Cornwall had invited the 'Royal' couple to land in those parts; but they first visited Cork, on 26th July, and remained in Ireland more than a month. This time, however, Catherine's husband failed to rally any support in the Emerald Isle, either from Kildare or Desmond, the former being now Lord-Deputy. The loyal citizens of Waterford not only wrote to inform the King of England of the claimant's designs, but fitted out vessels, at their own cost, which nearly captured him at sea during his crossing to Cornwall. The 'Duke' and a small company made the crossing in three ships and the one in which he himself sailed, a Biscayan, was actually boarded. The commander of the boarding party showed the King's letters offering two thousand nobles for his surrender, which was only right, he said, considering the alliance between England and Spain. But the captain denied all knowledge of his being on board, though he was actually hidden in a cask, and the ship was allowed to proceed on its voyage.

The 'Duke' landed at Whitesand Bay in Cornwall, proclaimed himself King Richard IV of England, as he had done in Northumberland, and installed his wife within the safety of the castle on St. Michael's Mount. At Bodmin, he found himself at the head of a body reckoned at three thousand men, which more than doubled as he went on. He laid siege to Exeter but, on the approach of the Earl of Devon and other gentlemen of the county, withdrew to Taunton. Learning that Lord Daubeney was at Glastonbury in full march against him, he stole away from Taunton at midnight (on 21st September) with sixty horsemen, whom apparently he soon left behind, and rode on himself with three companions to Beaulieu Abbey in Hampshire, where they took sanctuary. Two companies of horse presently surrounded the place, and the Royal claimant and his two friends surrendered to the King's mercy.

The rebel was brought back to Taunton, where the King himself had now arrived, on 5th October, and, having been promised his life, the so-called Duke made a full confession of his imposture. He turned out to be a Belgian named Perkin Warbeck, the son of the Controller of Tournai, who had been persuaded by the troublesome Irish to impersonate Prince Richard of York, after he had been mistaken for him whilst on a visit to Dublin. The pretender's followers had, by now, everywhere submitted; and King Henry travelled to Exeter, despatching horsemen to St. Michael's Mount to bring Lady Catherine to him. After seeing her, and making her husband confess his imposture once more in her presence, Henry sent her, with an escort, to his Queen, assuring her of his desire to treat her like a sister. Perkin was taken straight to London where he became the object of ridicule. At first, he was placed in the Tower, but was later allowed to hang around the Royal Court, until his double attempt at escape led to his execution on 23rd November 1499.

Deeply humiliated, Warbeck's widow had reason to feel grateful for the King's kindness. She resumed her maiden name of Gordon and was treated at court according to her birth. She not only received a pension, but her wardrobe expenses were settled by the King, and other occasional payments were sometimes made to her too. In January 1503, she was among the company assembled at Richmond Palace to witness the betrothal of the King's daughter, Princess Margaret, to King James IV of Scotland. Seven years later, Henry VIII of England granted, to Lady Catherine, a number of lands centred on Fyfield Manor in North Berkshire, which had belonged to the attainted Earl of Lincoln; but only on condition that she should not go out of England, either to Scotland or elsewhere, without Royal license.

The lady seems to have remained unmarried for about eleven years, and then entered into a union with James Strangeways, Gentleman Usher of the King's Chamber; obtaining a new grant of her Berkshire estates for herself and her husband in survivorship. The two seem to have settled at Fyfield Manor but, on 28th June 1517 - Strangeways being then dead -  she acquired a further grant of Lincoln's lands in Berkshire on the same condition as before. A month later, she became the wife of Matthew Craddock and obtained leave to dwell, with her husband, in Wales. He was a gentleman of Glamorganshire, afterwards knighted, who had fitted out, and furnished with men, a vessel for the French War of 1513. He died in 1531 and she again married, to Christopher Ashton, another Gentleman Usher of the Chamber, with whom she lived at Fyfield once more. She died in 1537 and, though a very fine effigial monument had been built for herself and her third husband in Swansea Church, she is buried in the chancel of the parish church of Fyfield, under a tomb with missing brasses still referred to as "Lady Gordon's monument". Lady Catherine was survived by her last husband.