Marquess of Rockingham
Proby married Frances Cotton, daughter of Sir Thomas Cotton, 2nd Baronet of Connington, Huntingdonshire. His daughter Alice married the Hon. Thomas Watson-Wentworth MP, and had an only child, Thomas Watson-Wentworth, 1st Marquess of Rockingham. Proby's son died travelling and the baronetcy became extinct on Proby's death. The Elton estate passed to his brother John Proby.