Although the postal address is Lincolnshire, Burghley House is actually located in Cambridgeshire. The county boundary lies between Burghley House and the town of Stamford.
Burghley House was originally in the Soke* of Peterborough, which was part of Northamptonshire. Following local government reorganisations in 1965 and 1972, Peterborough then became part of Cambridgeshire. In 1995 Peterborought became a unitary authority in its own right, though remaining part of Cambridgeshire for mostly ceremonial purposes.
So Burghley House is administratively in Peterborough and ceremonially in Cambridgeshire. To complicate matters further, UK postal addresses ignore counties and link to the nearest main town; for Burghley, this is nearby Stamford which has always been in Lincolnshire. It's all a problem of being next to shifting boundaries.
(*'Soke' is an obscure ancient word broadly meaning 'under the jurisdiction')
The link below goes to google maps, and shows the boundaries of Lincolnshire (shaded light green). Zoom in slowly and Burghley House will appear slightly below and to the right of Stanford, in Cambridgeshire.
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