In The Favourite, Sarah and Anne certainly were having an affair. As for real life, we only have suggestive letters to go on. Before Anne was queen, she wrote a series of provocative epistles to Sarah. Excerpts include lines like, "Oh come to me as soon as you can that I may cleave myself to you; “'I can't go to bed without seeing you…If you knew in what condition you have made me, I am sure you would pity;” “I hope I shall get a moment or two to be with my dear…that I may have one embrace, which I long for more than I can express.”