The Society of Mary first established a Catholic mission in a temporary chapel at 14 Kew Gardens Road, which opened for public worship on 26 October 1898 with Father Michael Cummins as the first parish priest, and was named Loreto House.

The founder of the Society of Mary had made a pilgrimage to the Loreto shrine in Italy in 1833 after asking for the Pope's approval to establish the society; and Saint Winefride was the favourite saint of one of this church's principal local benefactors, Miss Frances Elizabeth Ellis (1846–1930) of Clapham Park, whose inheritance from her father, a wealthy Brighton businessman, enabled her to help found many churches.

[7][8] Designed by the architects Scoles & Raymond,[3][note 1] the church was opened in 1906[9] and the side aisles, baptistery and chapels were added in 1968.

A parish hall, which also includes a smaller meeting room, is located next to the church.

[4] Second World War Royal Air Force fighter pilot and flying ace Brendan "Paddy" Finucane (1920–1942), whose family lived at 26 Castlegate, Richmond,[10] was a former altar server at the church.