The cottage was originally called the Bachelor's Cottage, and built as an overflow residence for Sandringham House.  In 1893, it was given by the future King Edward VII , then the Prince of Wales, as a wedding gift to his son Prince George, the Duke of York (later King George V ),  who lived there with his wife, the future Queen Mary , after their marriage. 
In March 1998, the Mansion House at Bagshot Park, including a block of stables and Sunningdale Lodge, was leased by the Crown Estate to Prince Edward for 50 years. The Mansion House was renovated as a residence for the prince. The renovation was partly funded by the Crown Estate and partly funded by Prince Edward.