  Cockburn was born in London on August 16,  1679.[1]  As a child, she taught herself to write, became proficient in French, and studied Latin grammar and logic. In addition to her studies, she devoted time to writing plays. In 1695, Cockburn’s first play Agnes de Castro was staged, and was published the following year. In 1698, her second play, Fatal Friendship, was staged and printed. Both plays were very well received and she enjoyed some celebrity in theatrical circles. Cockburn wrote three more plays over the next three years.