It is most likely, but not certain, that her father was King Henry VIII. An indication is that she was born in the midst of her mother's affaire with King Henry VIII, and a possessive Henry VIII would not have countenanced sharing the sexual favours of his mistress, even with her husband. He was far too possessive to have allowed this. Henry VIII required chastity from his sexual partners. 

Henry VIII kept the existence of an illegitimate child a secret until acknowledgement might suit him. Henry Fitzroy was born in 1519 but there is no record of his existence until the king ennobled him in 1525. The facts of the doubly adulterous births of Henry VIII's children by Mary Boleyn, had they been acknowledged, would surely have later had manifold catastrophic effects. Most important of all, Henry VIII's legitimacy as King and Defender of the Faith would have been at least seriously compromised, very possibly destroyed. 

As the Boleyns had fallen from favour in 1536, about November 1539 Catherine Carey was appointed a maid-of-honour to Anne of Cleves. By April/May 1540 she was married to Francis Knollys and they became the parents of eleven children. 

Catherine died 15 January 1569 at Hampton Court Palace and was given what only can be described as a 'royal' funeral by the bereaved Queen Elizabeth I. She was buried in April 1569 in St.Edmund's Chapel, Westminster Abbey, at the queen's expense. 

Source: Leo van de Pas