He was related to or perhaps a descendant of Juan Sánchez de la Cueva, a nobleman from Úbeda, Regedor or Veinte y Quatro (24) of Úbeda in 1367, who rose pennant for the usurper Henry, Count of Trastamara, bribed by his generous promises. He was also a relative and a contemporary of another Diego de la Cueva, Alcalde of Caltinovo, married to María Cortés, whose daughter María Cortés married Rodrigo or Ruy Fernández de Monroy, paternal grandparents of Hernán Cortés.
He married Maior Alfonso de Mercado from Úbeda and had two sons. King Enrique IV, in his second year as King, travelled to Úbeda and stayed with Diego. When he left this house, he took Diego's second oldest son, Beltrán, with him to stay at Court to show his gratitude to Diego. (Diego offered Beltrán after Enrique asked for Diego's oldest son, whom Diego wanted to keep close by).
Instituto de Salazar y Castro. Elenco de Grandezas y Titulos Nobiliarios Españoles (in Spanish). periodic publication. —Various (periodic publication)
Castro Pereira Mouzinho de Albuquerque e Cunhan, Fernando de (1995). Instrumentário Genealógico – Linhagens Milenárias (in Portuguese). pp. 329–30.
Sousa, Dom António Caetano de (1946). História Genealógica da Casa Real Portuguesa (in Portuguese). Vol. VI Atlântida-Livraria Editora, Lda, 2ª Edição, Coimbra (2ª Edição ed.). Coimbra, Portugal: Atlântida-Livraria Editora, Lda. p. 323.
