In 1616 he bought a grant of land, the southern Avalon Peninsula of the island of Newfoundland, from the London and Bristol Company. In 1617 he sent Welsh colonists to Renews to establish a permanent colony, which he called Cambriol; it eventually failed. The colonists were ill-equipped, without an experienced leader, and had built for themselves mere shacks for shelter for the winter. In 1618 Vaughan sent out a second batch of settlers under the command of Richard Whitbourne, whom he appointed governor for life of the undertaking. By 1619 Vaughan signed over part of his grant to Henry Cary. Vaughan's brother had convinced him to also to give up a portion of his tract to George Calvert, the area around Ferryland. In this area George Calvert established his Colony of Avalon. Vaughan retained the southern portion of his tract, determined by a line drawn from Renews to Placentia Bay, an area that included Trepassey. Further attempts to colonize Trepassey on two occasions had also failed. After the return of Whitbourne, Vaughan visited his colony in 1622, and returned to England in 1625, bringing with him two works ready for publication. Vaughan apparently paid another visit to Cambriol, but his plans for its prosperity were foiled by the severe winters. In 1628 he transferred his interests to the colony of Virginia. He died at his house of Torcoed, Carmarthenshire, in August 1641. In his will he gave instructions that he should be buried "without vaine pomp in the Churchyard of Llangendeirne". The location of his grave in the churchyard is unknown, but in a service held in Llangyndeyrn church on 31 October 1987 a memorial tablet to Vaughan was unveiled by George Noakes, Archbishop of Wales at the time.
Works
His chief work is The Golden Grove, under the pseudonym "Orpheus junior, a general guide to morals, politics and literature, in which the manners of the time are severely criticized, plays being denounced as folly and wickedness. The section in praise of poetry borrows much from earlier writers on the subject. The Golden Fleece... transported from Cambriol Colchis, by Orpheus junior is the most interesting of his other works. A long and fantastic prose allegory, it demonstrates "the Errours of Religion, the Vices and Decayes of the Kingdome, and lastly the wayes to get wealth, and to restore Trading" through the colonization of Newfoundland. After returning from Newfoundland he published two devotional works,The Church from the Time of our Saviour to 1640 and The Soules Exercise''.