Construction was begun in 1627 under the patronage of Felice Pignella, and dedicated to the Holy Mary of Caravaggio, a small town in the Province of Bergamo.
The church was first attached to the Piarists, a religious order dedicated to teaching, and later to the Barnabites.
In 1873, it became property of the Prince of Naples Institute for Blind Children (Italian: Instituto Principe di Napoli per giovani non vedenti).
The chapels to the right have paintings of St Joseph by Francesco Solimena, an anonymous Madonna della Provvidenza, and a Deposition by Domenico Antonio Vaccaro.
The chapels on the left have a Sant'Antonio Zaccaria, by Luigi Scorrano; the tomb of the Barnabite priest, St. Francis Xavier Bianchi, and a painting depicting the apparition of the Virgin to peasants in Caravaggio.