The Lincolnshire county boundary crosses between the town and the house which, in fact, is located in the ancient Soke of Peterborough, once considered part of Northamptonshire, but now in Cambridgeshire; and is administered as part of the City of Peterborough unitary authority.
Burghley was built for Sir William Cecil, later 1st Baron Burghley, who was Lord High Treasurer to Queen Elizabeth I, between 1555 and 1587 and modelled on the privy lodgings of Richmond Palace. It was subsequently the residence of his descendants, the Earls and Marquesses of Exeter, and is now owned by a charitable trust established by the family.
Lady Victoria Leatham, a daughter of the 6th Marquess and a well-known antiques expert and television personality ran the House as a Director of the Trust from 1982 to 2007. She has been succeeded by her daughter Mrs Miranda Rock.
The house is one of the principal examples of 16th century English Elizabethan architecture and also has a suite of rooms remodelled in the baroque style. The main part of the house has 35 major rooms on the ground and first floors. There are more than 80 lesser rooms and numerous halls, corridors, bathrooms and service areas.
In the 17th century, the open loggias around the ground floor were enclosed. Although the house was built in the letter E in honour of Queen Elizabeth, it is now missing its north-west wing. During the period of the 9th Earl's ownership, and under the guidance of "Capability" Brown, the south front was raised to alter the roof line, and the north-west wing was demolished to allow better views of the new parkland.
The avenues in the park were all laid out by Capability Brown, paying due respect to pre-existing plantings, some of which were from the 16th century or earlier. Brown also created the park's man made lake in 1775–80. He discovered a seam of waterproof "blue" clay on the grounds, and was able to enlarge the original 9 acre (36,000 m²) pond to the existing 26 acre (105,000 m²) lake. Its clever design gives the impression of looking at a meandering river. Brown also designed the Lion Bridge at a cost of 1,000 guineas (£1,050) in 1778. Originally, Coade-stone lions were used as ornamentation but these perished, and the existing stone examples, made by local mason Herbert Gilbert, have been in place since 1844.
Burghley hosts the annual Burghley Horse Trials.