He was born in Madrid. He studied with the Jesuit Order and then in the University of Alcala. In 1600 he received his bachelors degree and lived in Valladolid. Then began his differences with Luis de Gongora and a life of opposites: from satirical writings -El Buscón (ca. 1604)- to neostoicism -epistolary correspondence with the Flemish Justus Lipsius.
In 1605 he went to Madrid, and about 1609, looked for shelter in La Torre de Juan Abad (Ciudad Real) because of a spiritual crisis. He later bought this manor in 1620. He wrote a part of Dreams (Sueños), that were read in manuscript copies, and other books of poetry.
In 1613 he traveled to Italy, working for the Duke of Osuna. We know little of his activities there which gave him the habit of the Order of Santiago. Back in Spain, in the 1620s, he published works and saw pirate editions of them. He composed God's Politic and edited El Buscón (1626). In 1628 he was exiled for about a year and saw some of his books censured by the Inquisition. He tried to contact Count Duke of Olivares to whom he devoted an edition of Fray Luis de León's poems. In 1634, he celebrated an unhappy wedding. Around the 1630s, he wrote his classics, Cradle and Burial and Marco Bruto. Indeed he rewrote classical texts like Pseudo-Senecan Remedies against any Fortune. On 7.12.1639 he was arrested in Madrid and led to prison in San Marcos de Leon with no clear reason, although it was suggested he was thought to be a French sympathizer.
Once he left prison, he sorted out his works from 1644 in La Torre. A year later he died in Villanueva de los Infantes. His poems were published by his friend José González de Salas who edited them. His prose are still being studied amongst a labyrinth of manuscript copies and pirate or censured editions.