In 1541, a Madrilenian brothel owned by María de Peralta and Francisco Jiménez was evicted and demolished by King Philip II.
The convent was founded in 1575 with the patronage of the king and his sister Joanna of Austria, Princess of Portugal.
The temple is one of the largest and of best architecture that has Madrid, with good chapels and effigies"Initially, the convent was under the patronage of Saint Damasus who was popularly called Carmen Calzado by the Order.
The inaugural mass was conducted by Papal Nuncio Juan Bautista Castaneo, later (1590) Pope Urban VII.
The proximity of the convent to the Puerta del Sol, increased its popularity, sharing the limelight with the Convento de San Felipe el Real.