Born into a wealthy and prominent family, Southwell was the youngest son of Sir Richard Southwell and his first wife Bridget Copley. He was brought up a Catholic and at an early age was sent to the college in Douai to receive his education. After spending time in Paris he applied to the Society of Jesus but was turned down. Later the same year he applied again, this time being accepted. He was eventually ordained a priest in 1584, and in 1586 he was sent with Father Henry Garnet to England where he was initially harboured by the Vaux family, whose head had previously been imprisoned for harbouring Edmund Campion.

For six years he carried on his missionary work around both London and Norfolk, travelling in dusguise in a most unkempt manor. He was chaplain to the Countess of Arundel, as well as her husband's half-stser Lady Margaret Sackville.

In that time he wrote several important tracts and many poems, including "The Burning Babe" which was much lauded by Ben Johnson as a work of exemplary beauty that Johnson claimed he would sacrifice much of his own work to claim that he had written it "Southwell was hanged, yet so he [Jonson] had written that piece of his 'The Burning Babe' he would have been content to destroy many of his". Southwell also wrote "Mary Magdalene's Tears", "Triumphs over Death", and the "Hundred Meditations", yet his most well known piece was "St. Peter's Complaint".

In 1592 he was betrayed by Anne Bellamy the daughter of the owner of Uxendon Hall in Harrow, and arrested. Imprisoned for three years in the Tower, he was eventually brought to trial. The council had interrogated him 13 times during his incarceration, most of them under torture, hoping that the harsh conditions under which he was kept would break him. They never did, and Southwell was convicted of treason and executed at Tyburn in February 1595.