Since its inception in 1923, the school has operated under the Diocese of Covington; it is located next to the Cathedral Basilica of the Assumption.

In 1941 the school replaced it with a three-story purpose-built building on the same site, designed in Gothic style to harmonize with the cathedral.

[2][3] An expansion of the building that more than doubled its instructional space and included new science classroom and laboratory space, a technology center, a multi-purpose room that can serve as a theatre, and elevator access to both old and new sections was opened on December 7, 2011, the anniversary of the 1941 opening.

[2] Merger discussions with Villa Madonna Academy, a Catholic girls' school, were suggested by the diocese but were unfruitful; instead in 1992–93 Covington Latin School became coeducational on its own (as later did Villa Madonna).

[6] Covington Latin School is a member of the Kentucky High School Athletic Association and offers athletic teams in: Varsity, Junior Varsity, and Freshman teams are offered but vary annually, co-educationally and between sports.