On 16 July 1565 he married Margaret Cave, daughter of wealthy diplomat Sir Ambrose Cave. Their marriage took place at Durham house on The Strand and was attended by Queen Elizabeth. The festivities apparently included a feast, a ball, a tourney, two masques that went on until about 1:30 in the morning! 
↑ Varlow, Sally Sir Francis Knollys's Latin dictionary: new evidence for Katherine Carey Historical Research, Volume 80, Issue 209, August 2007, Pages 315–323,Oxford Academic
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It may be possible to confirm family relationships with Henry by comparing test results with other carriers of his Y-chromosome or his mother's mitochondrial DNA.
Y-chromosome DNA test-takers in his direct paternal line on WikiTree: