She resided in Paris, France, near the River Seine (according to her death certificate). She had no true home, but wandered from place to place staying with friends and acquaintances. With her brother Dudley Costello, also well known for his travel writing, they promoted the copying of illuminated manuscripts.
She wrote over 100 texts, articles, poems, songs and knew such people as Sir Walter Scott, Charles Dickens, Lord Byron, Thomas Moore. She was a poet, historian, journalist, painter and novelist. Her father was Colonel James Francis Costello, who died in April 1814 while fighting Napoleon.
Costello published works include Memoirs of Eminent Englishwomen (1844), which included her illustrations, and several other popular works of poetry and travel. Her collection Songs of a Stranger was dedicated to William Lisle Bowles. She did not return to France until after her mother sent for her in 1815/18 and then lived chiefly in Paris, where she was a miniature-painter.
In 1815 she published The Maid of the Cyprus Isle, etc. She also wrote books of travel, which were very popular, as were her novels, chiefly founded on French history. Another work, published in 1835, is Specimens of the Early Poetry of France. Her book The Rose Garden of Persia contains versions of poems or extracts of poems in Persian, illustrated with imitations of Persian illuminations; there was a new edition in 1888 and others in 1899 and 1913.