In 1865, the parish priest Canon Thomas Quinlivan acquired additional adjacent land, but funds could not be raised for construction.

The building work was undertaken by Rattee and Kett,[5] and began in 1885, following plans of the architects Dunn and Hansom, and the foundation stone was laid in June 1887.

The construction of a new Roman Catholic church on such a prominent site, as well as its dedication to the Forty Martyrs of England and Wales, caused much controversy among local Anglicans and members of the University.

This was partly due to Fr Robert Benson's reputation as a preacher, as well as Mgr Scott's work as parish priest.

[6] In a 1941 air raid, a small bomb struck the sacristy, blowing a six-foot hole in the roof and another in the wall of the Sacred Heart chapel.

[6] The building, one of the largest Catholic churches in the United Kingdom, is designed in the Gothic revival style and follows the traditional cruciform layout.

[6] The stained-glass windows depict, among other things, dedications of Cambridge Colleges and scenes from the lives of English martyrs, in particular St John Fisher.

[6] To bring the sanctuary in line with the perceived liturgical directives resulting from the Second Vatican Council (1962–1965), its design and re-ordering was done by Gerard Goalen of Harlow.

In the Tudor style, of red brick with stone dressings and a castellated slate roof, it is a Grade II listed building.

The chimes heard at each quarter-hour of the clock, made by Potts of Leeds, are based upon the "Alleluia" chant for the Easter Vigil.