This oratory was built in 1645 at the site of an earlier parish church, which had been dedicated to Santi Nazaro e Celso.
The design was by Domenico Cervini, and the work was patronized by the Confraternity della Beata Vergine del Suffragio.
The main altarpiece depicts the Madonna del Suffragio and souls in Purgatory (1692) painted by Robert De Longe.
Despite the plain brick exterior, the interior is highly decorated with quadratura by Francesco Natali.
The canvas depicting Saints Lucia and Ursula was painted by Antonio Perachi.