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Lord Murchison — narrator; former college friend of the protagonist; curious, persistent.
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Lady Alroy — mysterious woman; widow; fascinated with secrecy; beautiful, enigmatic.
Unable to let go of the mystery, Murchison visited the house where he had seen Lady Alroy enter one day. He discovered that she had rented a room there, but the landlady insisted that she never met anyone there and only used the room to read and have tea. The narrator concluded that Lady Alroy was simply a woman with a mania for mystery, and that she had no real secrets.
Murchison, still holding onto the photograph, was left to wonder if this was truly the case. During their conversation at the café, the narrator tried to comfort his friend Gerald.She was simply a Sphinx without a secret.
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Gerald — protagonist; infatuated with Lady Alroy; honorable, high-spirited.