After the final break-up of their relationship in March 1796, Gilbert Imlay would see Mary Wollstonecraft one more time. As Godwin recounts, ‘They met by accident upon the New Road [in London, now part of Euston Road]; he alighted from his horse, and walked with her for some time; and the rencounter passed, as she assured me, without producing in her any oppressive emotion’. Thereafter, Imlay more or less disappears from historical sight. Aside from some scattered records of financial disputes with merchants in London court archives, very few traces of Imlay's activities or whereabouts have come to light after he separated from Mary Wollstonecraft – although there is a record of his death and burial on the Isle of Jersey, discovered in 1903, and the text of an epitaph which once appeared on his tombstone in the yard of St Brelade's Church, but which has only survived in transcript. Thus, despite extensive research carried out by several generations of Wollstonecraft and Imlay scholars on both sides of the Atlantic, the last three decades of Imlay's life remain a blank page.

Inevitably, in the absence of any hard facts, Imlay's later life has been the subject of considerable rumour and speculation. Writing to Lyman C. Draper in 1847, early Kentucky settler Thomas Rogers recalled that the common wisdom was that Imlay had died ‘in Norfolk in England, some time previous to [his] brother John's death, which happened on the 16th April 1794’. In 1805, a relative reported in passing that Gilbert Imlay was believed to be back in the United States and was expected to pay a visit to New Jersey some time soon. More often than not, claims about Imlay's activities after the break-up of his affair with Wollstonecraft are simply the result of misinterpreting archival sources. Thus, it has been claimed that ‘Imlay continued to buy up frontier land’ and on 19 November 1810 ‘was granted a deed for 3400 acres in Kentucky’.