It's been a while since I read/listened to these, so I thought I'd just say a little something about each instead of writing full-fledged reviews, since they're on the same topic.
This biography was certainly interesting and takes an unusual look at the lives of these two women, though the balance is certainly off. This clearly started as a biography about Katherine, to which Fox added bits about Juana, so if you're looking to learn primarily about Juana, you might want to skip this one. There are notable differences between Fox's telling of Katherine's life and struggles and the account given by Alison Weir in The Six Wives of Henry VIII, so the contrast in interpretations are interesting. This is definitely an interesting read and takes a look at this bit of history that you may not find elsewhere.
The Constant Princess leaves off, told by Mary Boleyn, sister to Henry VIII's infamous second wife and mother of Elizabeth I, Anne Boleyn. The novel paints quite a negative portrait of Anne as a conniving, quarrelsome, self-centered witch (nearly literally, as witchcraft was still practiced then and it is suggested that she utilized forms of it in her efforts to conceive a son). It also gives credence to unsubstantiated rumors about her life, including the suggestions that she gave birth to a deformed baby and slept with her brother (which she was, in life, convicted of but was never proven). In contrast, Mary is presented as sweet and innocent, merely a tool of the men in her life in their quest for power.
The novel was entertaining, though not exactly high literature (whatever that is) as it employed quite a bit of sensationalism. As in The Constant Princess, Gregory takes some heavy liberties with history, but honestly, it's close enough. I think you get a sense of the sentiments of the time and the basic outline of what happened, so if you don't need the exact truth but are interested in the time period, this is definitely worth a read. And to be honest, as unlikely as objective truth is in general, it's even harder to come by in a time period so far gone, when cameras and tape recorders and accurate record-keeping were still centuries off. As I mentioned above, even biographies aiming for the truth disagree, so a dash of fiction doesn't hurt anything.
I listened to this on an audiobook, and I don't really recommend it. It's easy to lose focus since there's not that much action (at least for me), plus it's very long. Doable, but you may just want to stick to the print version.