I think I read somewhere they were cousins...maybe I'm making things up.
If they are, how are the related?

I'm not in the mood to use Wikipedia.

Almost ....but not quite.....

Mary, Queen of Scots' GRANDMOTHER was Margaret Tudor.
Margaret was the eldest sister of Henry VIII. Margaret gave birth to James V of Scotland who later was the father of Mary.

Being the sister to Henry the eighth -- Margaret is Elizabeth I's aunt.

That should make them second cousins.