Hi Jessica,
I've actually just written about this - see https://www.theanneboleynfiles.com/17278/yellow-for-mourning-the-reaction-of-henry-viii-and-anne-boleyn-to-catherine-of-aragons-death/. On the day after Catherine's death, when the news got to Greenwich, Chapuys reports that Henry VIII "was clad all over in yellow, from top to toe, except the white feather he had in his bonnet" whereas the chronicler Edward Hall writes that “Quene Anne ware yelowe for the mournyng", so it is unclear exactly who did wear yellow and also their motives.
In her book on the six wives, Alison Weir did state that yellow was the colour of mourning in Spain but she actually corrected this in her book "The Lady in the Tower", saying that she had found no record of this. I live in Spain and I have never heard of yellow being the colour of mourning. In an online discussion on tudorhistory.org, someone mentioned that Carlos M N Eire makes no mention of yellow in his book "From Madrid to Purgatory: The Art and Craft of Dying in Sixteenth-Century Spain (Cambridge Studies in Early Modern History)" and I'm sure Chapuys would have heard of the custom, seeing as he was the Imperial Ambassador.

Author Robert Parry left an interesting comment on our Facebook page re the wearing of yellow:-

"Whenever this topic comes up, it reminds me of the character Malvolio in Shakespeare’s comedy Twelfth Night who is tricked into the wearing of cross-gartered yellow stockings, which are, as it happens, a fashion and look detested by the very lady in the play he is trying to impress, Olivia.
There is a paper online which discusses this and which describes a ballad from 1586 – much later than the incident with Henry, but it could point to an earlier folk tradition that had been established already in which a married man would wear yellow as a marker of his desire to be a bachelor. Here is a quote from that paper followed by its URL:

‘The topic of marital relationships and yellow hose appears in a contemporary ballad
entered in the Stationers’ Register in 1586 entitled a “Merry Jest of John
Tomson and Jakaman his wife, / Whose jealousy was justley the cause of all
their strife … However, rather than yellow hose denoting a jealous husband in the
ballad, they seem to signal a husband’s desire to return to bachelorhood and
his wife’s jealousy. As the opening verse of the ballad states:

When I was a Batchelour
I liv’d a merry life;
But now I am a married man,
and troubled with a wife,
I cannot doe as I have done,
because I live in feare;
If I goe but to Islington,
my wife is watching there.
Give me my yellow hose againe,
give me my yellow hose;
For now my wife she watcheth me—
see, yonder! where she goes.
(Roxburghe, 2:137)’

The paper can be found at: http://alain.corbiere.free.fr/perfarts/yearthreesem1/Stockings.pdf

All right, Henry was married at the time of Katherine's death (at least in terms of English law), so it doesn't quite stack up. But it does indicate that Yellow was a colour associated with being at liberty from marital obligations and responsibilities. And from jealousies, too. It was the colour of being 'fancy free again.' So maybe, just maybe there is a clue there."

I hope that helps!

CLICK HERE FOR MORE QUESTIONS