The title Marquess of Rockingham in the peerage of Great Britain was created for Thomas Watson-Wentworth, 6th Baron Wentworth, in 1746.

The Watson-Wentworth family were decended from the Watsons of Rockingham Castle in Northamptonshire who were given a barony in 1645. Thomas's father Thomas Watson-Wentworth (1665-1723), third son of the 2nd Baron Rockingham, inherited the barony of Rockingham on the death of his cousin Thomas Watson, 3rd Earl of Rockingham. The earldom had been created to the 2nd Baron's eldest son in 1745 and became extinct with the death of the 3rd earl. The senior Thomas adopted the name Wentworth when he inherited the estate of his maternal uncle William Wentworth, 2nd Earl of Strafford in 1695.

The second Marquess, son of the first, became Prime Minister of Great Britain. When he died in 1782 all of his titles became extinct.

Barons Rockingham (1645)

• Lewis Watson, 1st Baron Rockingham (1584-1653)
• Edward Watson, 2nd Baron Rockingham (1630-1689)
• Lewis Watson, 3rd Baron Rockingham (became Earl Rockingham 1714) (1655-1724)

Earls of Rockingham (1714)

• Lewis Watson, 1st Earl of Rockingham (1655-1724)
• Lewis Watson, 2nd Earl of Rockingham (c. 1714-1745)
• Thomas Watson, 3rd Earl of Rockingham (1715-1746)

Marquesses of Rockingham (1746)

• Thomas Watson-Wentworth, 1st Marquess of Rockingham (1693-1750)
• Charles Watson-Wentworth, 2nd Marquess of Rockingham (1730-1782)