Construction of the cathedral began under the Diocese of Covington's third bishop, Camillus Paul Maes, in 1895 to replace an 1834 frame church that was inadequate for the growing congregation.

The sanctuary was designed by the Detroit architect Leon Coquard and is inspired by the Notre Dame Cathedral in Paris.

Services were first held in 1901, with the Madison Avenue façade, designed by the local architect David Davis, added between 1908 and 1910.

The lower portion is a depiction of the Ecumenical Council of Ephesus in 431 AD that proclaimed Mary the 'Theotokos' (God-Bearer or Mother of God).

The west gallery, below the rose window, is occupied by the two-manual organ originally built for St. Joseph Roman Catholic Church in Covington, Kentucky, in 1858 by Mathais Schwab of Cincinnati, Ohio.

The Schwab organ was altered to fit the new location, but retains most of its original components, including its mechanical key and stop actions, ivory keyboards and faux-grained casework.

They are made of Bedford limestone, reportedly sourced from the same quarry which provided material for the original construction of the church.