He was the youngest son of Diego Velázquez Dávila y Bracamonte, marquis of Loriana, and Leonor de Gúzman, aunt of the Count-Duke of Olivares. Since 1600, he fought during more than 20 years in the Spanish Netherlands in the service of Albert VII, Archduke of Austria. After his death, Diego returned to Spain where his cousin Olivares had become valido, and under his patronage, Diego soon became very influential. He became a member of the State Council in 1626, was made Marquis of Leganés in 1627 and married in the same year with Polixena Spinola, the very rich daughter of the great general Ambrosio Spinola.