It was established in the late 16th or early 17th century near a cemetery in which victims of the 1592–1593 Malta plague epidemic were buried.

It was originally dedicated to Saint Roch, but after a convent was built next to it in the early 17th century it was rededicated to Our Lady of Sorrows.

The church later gave its name to the town of Pietà which developed nearby, and the present building dates back to the mid-18th century when it was reconstructed.

At the time, it was standard practice to bury the deceased within churches or chapels, but due to the epidemic's high death toll it became necessary to establish a new cemetery.

The church fell under the jurisdiction of the parish of St Paul's Shipwreck of Valletta, and in 1723 Bishop Gaspare Gori-Mancini granted it the status of vice-parish after the population of the Pietà area had grown to a few hundred people.

[1] Prior to the Rising of the Priests in 1775, ringleader Gaetano Mannarino and other conspirators met in the church's sacristy to plan the rebellion.

[1] Saint George Preca, who founded the Society of Christian Doctrine, used to teach within the church in the early 20th century.

On 11 June 1940, the church was used to temporarily accommodate about 15 refugees from bombed-out houses after one of the first World War II aerial bombardments of Malta.

[8] The façade also features a coat of arms of Paul Alphéran de Bussan and a small window which allows light to enter the church.

The chapel of Our Lady of Loreto contains an altarpiece which depicts Mary with John the Baptist and the Blessed Gerard, painted by Bartolomeo Garagona in 1613.

The older statue of Our Lady dates back to the 18th century, while the later one was sculpted by Michael Camilleri Cauchi.