It was the Kerckhoffs' intention to build a Roman Catholic church, school and hospital in the city.

A temporary chapel, the first of its kind in Roskilde since the Reformation in 1536, was inaugurated in a former stable of the new rectory on 13 July 1902.

In 1904–05, a group of Daughters of Wisdom founded St. Joseph's School and St. Mary's Hospital on a site on the other side of the street.

Jacob van Gils, a Dutch architect, was commissioned to design a church building for a site adjacent to the rectory.

Construction began in 1913 and the church was inaugurated by bishop Johannes von Euch on 19 April 1914.