of Windsor House of Saxe-Coburg-Gotha Royal anthem God Save the King Father Edward VII Mother Alexandra of Denmark Born 3 June 1865 ( 1865-06-03 ) Marlborough House , London Baptised 7 July 1865 Windsor Castle , Windsor Died 20 January 1936 (aged 70) Sandringham House , Norfolk Burial 29 January 1936 St George's