In 2006, Tessy Antony de Nassau married Prince Louis, Prince of Luxembourg. The pair had met while serving in the army together. In 2017, after having two children, the pair announced they would be divorcing in a statement that read, "Their Royal Highnesses the Grand Duke and the Grand Duchess regret to announce that Prince Louis and Princess Tessy have decided to divorce. In these difficult times, they ask for privacy."

For Tessy, it was a difficult time. On the "Tell It Like It Is" podcast, she explained, "When the divorce broke out, my body just shut down. Literally, I couldn't walk, properly speak, eat... I had so much anxiety and couldn't even go shopping for food." According to her, it was a combination of pressure, stress, and fear of public scrutiny. As she is a businesswoman, she finds it "hard to admit defeat and failure." Eventually, Tessy started taking medication for depression, but she knows getting over the divorce will take time. "Divorce was one of the most painful things I have gone through," she said. "I lost 98% of my friends," as per Tatler.