In the 16th Century, Hernán Cortes—conqueror of Tenochtitlán and the first governor of Mexico—ordered the establishment of a series of seven small chapels at the edge of the capital of New Spain. The churches were meant to serve travelers as a place of prayer on their way in and out of the city, based on a medieval tradition from Spain. 

The building was finally built in the late 18th century. At 30-feet-long and 13-feet-wide, the church was designed as a miniature version of a cathedral, rather than a small chapel, fitting up to 20 people. What it lacks in size it makes up for in ornate detail. The church reflects Churrigueresque Baroque style. The interior is covered in Talavera, a type of pottery characterized by intricate patterns of blue and white vegetation.

At the time, the La Merced water channel ran along the northern side of the church, which explains the trapezoidal shape of the building and the diagonal street. The church was frequented by robbers and prostitutes, who were prevalent in the area and sought forgiveness for their sins—a practice that peaked in the 1940s. Allegedly, robbers would abstain from committing theft on the same day they visited the church.