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London as we know it today consists largely of the old county of Middlesex north of the River Thames. The exception was the City of London which has always been independent.
In 1855 about 20% of the south-east of the county was transferred to the County of London, leaving the remaining north-west part to be administered by Middlesex County Council. Both Middlesex and the County of London were abolished in 1965 when Greater London was created. Small areas in the north and west were transferred to Hertfordshire and Surrey respectively.
Your Middlesex ancestors may have worked on the land or in associated industries, or may have been urban city dwellers who considered themselves to be Londoners.
Middlesex remains an optional part of the postal address in some areas of north and west London (those areas that do not have London postcodes), but administratively it has long since disappeared. Records are mostly held at the London Metropolitan Archives in the City of London, with some records also held by local London borough archives.
The map below shows Middlesex before the reorganisation of 1855 and the transfer of south-east Middlesex to the County of London. Click on the map for a larger version. On the London page you will find maps of the City and County of London in more detail.