  Cockburn was also deeply interested in religious issues and she wrote and published a series of theological works. These included a work, in the form of two letters, that examined Catholic and Protestant doctrine entitled A Discourse concerning a Guide in Controversies. This work was first published in 1707. Another work, first published in 1726, entitled A Letter to Dr. Holdsworth Occasioned by his Sermon, was mainly a defense of Locke’s orthodoxy against charges of heresy. She wrote and published a second Vindication of Locke’s orthodoxy against Holdsworth, in two parts.