The present church was built adjacent to the now absent Convent of Nuestra Señora del Favor (Our Lady of the Graces).

Thirty two years later, the father Plácido Mirto establishes a Convent of the Theatine Order.

The church is dedicated to the founder of the order, Saint Cajetan of Thiene.

In 1836, after the Desamortización de Mendizábal, the convent building becomes private apartments.

In 1980 San Cayetano was declared a Bien de Interés Cultural by the Spanish government.