In 1787 he married Miss Trevenen, the elder sister of his brother's wife, and by her had three daughters. He was not at sea again till 1790, when he accompanied Captain Murray in the _Defence_, and was engaged in the West Indies. At the latter end of 1796 he was again returned to the _Cleopatra_, in which ship he had the melancholy satisfaction of conveying to England his friend and admiral, who had been seized with a paralytic affection from which he never recovered. The voyage home was tempestuous; but at length, and nearly at its close, the wind had come right aft, and the captain, who, though ill, was on deck, believed himself to be making rapid way up the Channel. On a sudden a light, which he knew to be the Scilly light, flashed across him, and he saw that he was between Scilly and the Land's End. He instantly stood to the south, but had hardly changed his course when he saw, close astern in the dark night, a wave break under the bow of a large ship, steering exactly in the direction which he had left. "I never felt so sick before," he wrote. "I felt certain that in an hour's time she would be on the rocks, the wind blowing almost a storm. I shouted through the trumpet, I threw up lights, and fired guns, to give the alarm, but with the inward conviction at the time that it was all in vain--and so it was. This ship was never heard of again; and though fragments of a wreck were found the next morning on the coast near the Land's End, nothing was discovered to indicate what wreck it was." The _Cleopatra_, on her return to England, was laid up for some months at Portsmouth in dock, and shortly after her repairs were completed the mutiny broke out at Spithead. Captain Penrose had the satisfaction that his own crew, from the beginning to the end of this anxious period, stood firm to their duty; a consequence undoubtedly of the manner in which he invariably treated his men, with kindly consideration and as reasonable beings.