The first chapel on this site was a meeting room in a building also used as a pub called The Plough, which stood here in the 17th century.
Originally built as a chapel of ease to the Priory (now Cathedral), the Norman pillar and grant from the Town Council in the 12th century for the offering of Mass, testify to its early foundation. Much rebuilding of the Norman structure took place in the 14th and 15th centuries.
However, it was during the Victorian period that the most extensive rebuilding, much of it devitalizing, took place. Changes made during the 20th century were carried out by the renowned architect WD Caroe whilst Cathedral architect.
The two altars, reredos, choir stalls, organ case and parclose screen are all his work or that of his son, Alban. More recent work has included the east window of the welcoming and reigning Christ by local artist, John Petts in 1989, and the statue of Our Lady of Walsingham (in the niche above the Norman pillar) by Michael Tandy in 1997.