The house was the whim of Colonel John Cockerell, grandson of the diarist Samuel Pepys, who returned to England having amassed a fortune in the East India Company. John died in 1798, three years after his return, and the estate passed to his youngest brother Charles, who had also worked for the company. He commissioned his brother Samuel, an architect, to design and build an Indian house in the Mogul style of Rajasthan, complete with minarets, peacock-tail windows, jali-work railings and pavilions.
Once completed, Sezincote dazzled all who came. When the Prince Regent visited in 1807, an event commemorated in a Daniell painting owned by the family, he was so impressed that he went on to change his plans for the Royal Pavilion in Brighton. Designed by John Nash, it echoed the exotic Indian style he had admired at Sezincote.