Source, in full
To the Countess of Nottingham, as quoted in The History of England Under the House of Tudor (1759) by David Hume, Vol. II, Ch. 7. Hume says that Elizabeth had given Essex a ring after his expedition to Cádiz that he should send to her if he was in trouble. After his trial for his rebellion against the queen, he tried to send the ring to Elizabeth via Catherine, but the Countess kept the ring because her husband was an enemy of Essex, who, as a result, was executed. On her deathbed in 1603, Catherine is said to have confessed this to Elizabeth, who angrily replied as cited. There is a possible earlier reference to the legend by John Webster in his 1623 play The Devil's Law Case, but the first printed version of it is in the 1695 romantic novel The Secret History of the most renowned Queen Elizabeth and the Earl of Essex, by a Person of Quality.