Jakob VI./I. war bei seinen neuen Untertanen, den Engländern, sehr unbeliebt: "His love of pleasure, his extravagance, his partiality to favourites; and above all, his extraordinary notions of the Divine rights of Kings, alarmed the patriots, and scandalized the religious portion of the community, and prevented him from obtaining the esteem of the people generally." (in: Francis Lancelott: The Queens of England and their Times, Volume II, New York 1858, p. 671). Es wundert daher nicht, dass er stets Attentate gegen seine Person zu befürchten hatte, zum Beispiel: "The Gunpowder Plot, to blow up the King, Prince Henry [seinen ältesten Sohn], and the Parliament, at one fell swoop, on the fifth of November 1605, but which fortunately was discovered and prevented before the hardened Guy Fawkes, to use his own words, when taken and examined, could 'blow the Scottish beggars back to their native mountains,' was not directed against the Queen [Anna von Dänemark], whose power the conspirators evidently deemed too weak to be feared ..." (in: Francis Lancelott: The Queens of England and their Times, Volume II, id., p. 667).
Am 16. Juli 1606 kam Annas geliebter Bruder, König Christian IV. von Dänemark und Norwegen, auf Besuch nach England. Anna selbst litt in dieser Zeit noch an den Folgen der letzten schweren Geburt und hütete das Bett. Sie genoss die Zeit, die ihr Bruder mit ihr verbrachte. Sein Schwager verwöhnte ihn letztendlich, wie es alle hohen Herren taten, mit reichlichen Trinkgelagen: "Shortly afterwards, Cecil gave a grand entertainment and masque at Theobalds, in honour of the royal stranger. Many of the noble performers in the masque presented themselves before the spectators in a state of disgusting intoxication, then the prevalent vice of the court, as will be seen by the following extract from a letter written by one of the guests: 'Those whom I never could get to taste good liquor, now follow the fashion, and wallow in beastly delights. The ladies abandon sobriety, and are seen to roll about in intoxication. After dinner, the representation of Solomon, his temple, and the coming of the Queen of Sheba, was made, or (as I my better say) was meant to have been made. The lady who did play the Queen’s part, did carry most precious gifts to both their majesties [Jakob VI./I. und Christian IV.]; but forgetting the steppes arising to the canopy, overset her casket into his Danish Majesty’s lap, and fell at his feet, though I rather think it was in his face. Much was the hurry and confusion, cloths and napkins were at hand to make all clean. … The entertainment and show went forward, and most of the presenters went backwards or fell down ..." (in: Francis Lancelott: The Queens of England and their Times, Volume II, pp. 667-668).