In later life he lived on the Royal Crescent in Bath. Thicknesse obtained a commission as a Captain of an independent company in Jamaica after 1737, but transferred to a marine regiment as a Captain-Lieutenant in 1740. He was Lieutenant-Governor of Landguard Fort, Suffolk (1753–1766).
He was a friend of the society artist Thomas Gainsborough who he first met in about 1753 and also his less well-known brother, the inventor Humphrey Gainsborough. He was an author and wrote for The Gentleman's Magazine. He also published The Speaking Figure and the Automaton Chess Player, Exposed and Detected, a not entirely accurate exposé of the chess-playing machine The Turk.
In 1742 he eloped with Maria Lanove, a wealthy heiress, after he abducted her from a street in Southampton and took up residence in Bath with her, taking full advantage of the social whirl of life. In 1749 Maria and his children (now three of them) contracted diphtheria; she and two children died, leaving only a daughter, Anna, to survive. When Maria's parents died some time later (his mother-in-law committing suicide), he spent much time in trying to claim their fortune. Thicknesse then married Lady Elizabeth Tuchet, daughter of James Tuchet, 6th Earl of Castlehaven and Hon. Elizabeth Arundell, on 10 May 1749. They had a son George (1758-1818), later 19th Baron Audley. Elizabeth died in childbirth in 1762. His third wife was his late wife's companion, Anne Ford, daughter of Thomas Ford, whom he married on 27 September 1762. Ann (1732–1824) was a gifted musician with a beautiful voice who was well-educated and knew five languages. She gave Sunday concerts at her father's house, but her ambition was to become a professional actress and, in spite of her father's disapproval, she left home to enter the stage. They had a son, Captain John Thicknesse RN (c1763–1846). The couple spent a lot of time travelling in Europe.
In his will he stipulated that his right hand be cut off, and that it should be delivered to his son, George, who was inattentive. The will stated that the reason was "to remind him of his duty to God after having so long abandoned the duty he owed to a father, who once so affectionately loved him."
- 1777: A Year's Journey through France and Part of Spain. 2 vols. Bath: printed by R. Cruttwell, for the author; and sold by Wm. Brown, London
- 1778: The New Prose Bath Guide : for the year 1778. [London?]: Printed for the author: and sold by Dodsley
- 1786: A Year's Journey Through The Pais Bas: or, Austrian Netherlands. London, printed for J. Debrett
- 1788: Memoirs and Anecdotes of Philip Thicknesse. [London?]: Printed for the Author, MDCCLXXXVIII.  (A third volume was published in 1791)
- Katherine Turner, Thicknesse, Philip (1719–1792), Oxford Dictionary of National Biography, Oxford University Press, September 2004. Online edition, accessed 12 January 2008.
- Lowndes, William (1981). The Royal Crescent in Bath. Redcliffe Press. ISBN 978-0-905459-34-9.
- Hayes, John. (1980) Thomas Gainsborough. London: Tate Gallery. p. 20. ISBN 0905005724
- Olmert, Michael (1996). Milton's Teeth and Ovid's Umbrella: Curiouser & Curiouser Adventures in History, p.72. Simon & Schuster, New York. ISBN 0-684-80164-7.