The Castles of Scotland page says the castle is reputedly haunted by the spirit of possibly Elizabeth Rennie, the divorced wife of Henry Dundas, 1st Viscount Melville, or perhaps another spectre of Mary, Queen of Scots. During renovation an apparition of a woman was seen to walk through a wall, later found to be a blocked up door. One account has the ghost seen mostly in the library bar or in room 108, more often in autumn or winter and in daylight hours.
The page does not cite sources, and Wikipedia's article records no ghost story, only that Mary is said to have been a frequent guest and to have planted five oak trees along the drive. The Mary attribution appears to follow from that tradition.
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