(This biography is synthesized from the sources shown below.)
Catherine Carey was either the first cousin or half-sister of Queen Elizabeth I. She was nominally the daughter of William Carey and Mary Boleyn. Her mother Mary, a sister of Anne Boleyn, was a mistress of Henry VIII while she was married to William Cary. It was rumored at the time that Catherine was actually the daughter of Henry VIII. Catherine never claimed to be the King's daughter, and Elizabeth never recognized Catherine as her half-sister, but there is circumstantial evidence to support the assertion. She was definitely one of Elizabeth's favorites. For an interesting discussion of this topic, see Sally Varlow's article.
She came to court as a maid of honor to Anne of Cleves in January of 1540 and married Sir Francis Knollys on Apr 26, 1540. Francis was a Protestant, which later put him at odds with Queen Mary Tudor, a Catholic. Therefore he fled to Europe in exile during the reign of Mary Tudor. She probably left England in the spring of 1556 to join her husband. They had at least five of their children with them.
Thomas Knollys and Catherine had 14 to 16 children, only one of whom died in infancy. (Apparently another putative daughter, Cecilia, is not contained in any of the family records, although she is shown as a member of Queen Elizabeth's household in some histories of the period.) Catherine delivered 11 children in her first 15 years of marriage, most of them spaced by only 10 months! You can see a transcript of Thomas Knollys' list of his children's births here.
Catherine returned to England by 14 Jan 1559, when she became a lady of the privy chamber to Queen Elizabeth. Catherine’s children were also at court. In 1560, she and her son Robert were granted Taunton Manor for life. She died at Hampton Court, at age 39, while in attendance to the Queen. At that time, her husband was guarding Mary Queen of Scots at Bolton Castle. The Queen Elizabeth I paid for Catherine's funeral, which cost £640 2s.11d. Thomas outlived Catherine by almost thirty years, dying on July 15, 1596.
There is a small plaque to Catherine at Westminster Abbey. (Although the plaque shows Catherine's death date as January 15, 1568, that date is "Old Style," and she actually died in 1569.) The Knollys Chapel at Saint Nicholas Church, Rotherfield Greys, Oxfordshire, contains a large tomb in which Catherine and Thomas are buried. The tomb has effigies of Thomas and Catherine, with individual figures of seven sons, six daughters and, probably, son William's wife. Eric Hardy has placed a number of colored photos of the tomb on Flickr.
Lee, Sidney, editor, Dictionary of National Biography, Vol. 31, Elder Smith & Co., London, 1892 
Varlow, Sally, Sir Francis Knollys’s Latin dictionary: new
evidence for Katherine Carey* Published by Blackwell Publishing Ltd., 9600 Garsington Road, Oxford, OX4 2DQ, UK and 350 Main Street, Malden, MA 02148, USA. Blackwell Publishing Ltd, Oxford, UK