This estate has always been a favorite with the Royal family. They spend each New Year here. It is a relatively new acquisition, having been purchased in 1862 by Queen Victoria at the request of the Prince of Wales (future King Edward VII) as a home for him and his future wife Alexandra. He found it to be unsuitable after moving in and had the building razed and the existing one built. It was finished in 1870. Queen Alexandra, her son George V, and grandson George VI all died at Sandringham.

Sandringham has been the home of a playful holiday poltergeist as well. It throws holiday cards around, rips sheets from the beds, and breathes heavily in the ears of maids in the second floor servants' quarters. Footsteps have also been heard.

Prince Philip's uncle, Prince Christopher of Greece, once saw a masked woman while staying in a guest room there. He was reading a book and saw her head and shoulders in the dressing table mirror when he looked up. She had curly brown hair, a dimpled chin, and a mask over the top of her face.

The next day he visited Lord Cholmondley at Houghton Hall and by chance discovered the identity of the mysterious masked woman. He saw a portrait of the same woman there, carrying a mask and wearing the same dress he remembered from the mirror. It was Dorothy Walpole, and noblewoman who died under mysterious circumstances, supposedly of smallpox, in 1726. Her ghost was also seen by King George VI in 1786. Interestingly, she appears as her young, pretty self at Sandringham. At her own estate, Raynham Hall, she appears in a very frightening manner.

In addition to these reports, there have also been sightings of a boy lamplighter.