The Oratory was constructed from the sacristy of the adjacent church of the Madonna di Galliera.
This church is now called Chiesa dei Filippini Madonna di Galliera e Filippo Neri.
It was decorated in the early 18th century (1723-1733) by a series of artists including Alfonso Torreggiani (architect); Angelo Piò (sculptor), and Francesco Monti (painter).
Other artists involved included the quadraturae painter Fernando Galli Bibiena (1657-1743) and the stuccoist Carlo Nessi.
The original structure was nearly destroyed by the Allied bombardment during World War II, and was reconstructed using old photographs in 1997–1999.