Prince Henry's Welcome at Winchester was a masque produced by Anne of Denmark and performed in 1603 at Winchester on a day between 11 and 17 October.

Diary of Anne Clifford 1603. Before 25 Dec 1603. Before Xmas my cousin Frances was sent for from Nonsuch to North Hall by reason that her Grace was to go from thence to be brought up with the Lady Harrington in the country. All this time we were merry at North Hall. My cousin Frances Bouchier (age 16) and my cousin Frances Russell and I did use to walk much in the garden and were great with one another. Now there was much talk of a masque which the Queen (age 29) had at Winchester and how all the ladies about the Court had gotten such ill names that it was grown a scandalous place, and the Queen herself was much fallen from her former greatness and reputation she had in the world.

Note 1. The Diary appears to pass at once from 1603 to 1616.