It is located on the corner of London Road and North Everard Street in the centre of the town.

Its construction was partially paid for by the then Prince of Wales, Edward VII.

In 1802, a mission was started in King's Lynn by a French priest, Fr le Goff.

On 2 June 1897, the church was opened by Arthur Riddell, the Bishop of Northampton.

The builder was W. Hubbard of East Dereham and the total cost of the new church was £3,000, of which the Prince of Wales contributed 50 guineas.

[5][6] Before the opening of Our Lady of the Annunciation Church, Fr Wrigglesworth visited Loreto and saw the Basilica della Santa Casa.

The pope blessed a statue of the Mary, a replica of the one in Santa Maria in Cosmedin and crafted in Oberammergau, and it was put in the Lady Chapel in the church.

The following day, on 20 August 1897, the first public pilgrimage to Walsingham, since the Reformation, was done by a group of 40–50 people.

[8][9] Historic England listed the church at Grade II on 7 November 2022.