This ballad first appeared in print in the _Tea-Table Miscellany_, (ii. 282,) from which it was adopted into Herd's and Pinkerton's collections, Johnson's _Museum_, and Ritson's _Scottish Songs_. The version here selected, that of Finlay, (_Scottish Ballads_, ii. 39,) is nearly the same, but has two more stanzas, the third and the fourth. Different copies are given in Motherwell's _Minstrelsy_, p. 360, Smith's _Scottish Minstrel_, iii. 90, _The Songs of England and Scotland_, (by Peter Cunningham,) ii. 346, and Sheldon's _Minstrelsy of the English Border_, p. 329, (see our Appendix;) others, which we have not seen, in Mactaggart's _Gallovidian Dictionary_, Chambers's _Scottish Gypsies_, and _The Scot's Magazine_ for November, 1817. There is a popular tradition, possessing, we believe, no foundation in fact, that the incidents of this ballad belong to the history of the noble family of Cassilis. The Lady Jean Hamilton, daughter of the Earl of Waddington, is said to have been constrained to marry a grim Covenanter, John, Earl of Cassilis, though her affections were already engaged to Sir John Faa of Dunbar. In 1643, several years after their union, when the Countess had given birth to two or three children, her husband being absent from home on a mission to the Assembly of Divines at Westminster, Sir John presented himself at Cassilis Castle, attended by a small band of gypsies, and himself disguised as one. The recollection of her early passion proved stronger than the marriage vow, and the lady eloped with her former lover. But before she had got far from home, the Earl happened to return. Learning what had occurred, he set out in pursuit with a considerable body of followers, and, arresting the fugitives, brought them back to his castle, where he hanged Sir John and his companions on a great tree before the gate. The Countess was obliged to witness the execution from a chamber window, and after a short confinement in the castle, was shut up for the rest of her life in a house at Maybole, four miles distant, which had been fitted up for her, with a staircase on which were carved a set of heads representing her lover and his troop. Unfortunately for the truth of the story, letters are in existence, written by the Earl of Cassilis to the Lady Jean after the date of these events, which prove the subsistence of a high degree of mutual affection and confidence; and Finlay assures us that after a diligent search, he had been able to discern nothing that in the slightest confirmed the popular tale. The whole story is perhaps the malicious invention of an enemy of the house of Cassilis, and as such would not be unparalleled in the history of ballad poetry. See Dauney's _Ancient Scottish Melodies_, p. 269, and Chambers's _Scottish Ballads_, p. 143. The gypsies came to our good lord's gate, And wow but they sang sweetly; They sang sae sweet and sae very complete, That down came the fair lady.