The church traces its history to 1710, when Peter the Great, Tsar of Russia, arranged the marriage of his niece Anna to Frederick William, Duke of Courland.

The duke promised to build an Orthodox church in Jelgava (then known as Mitau), his capital, but his premature death prevented this.

The cathedral was built between 1890 and 1892, with the financial support of Tsar Alexander III of Russia, on designs made by architect Nikolai Chagin, of Vilnius.

The cathedral was destroyed in August 1944 amidst World War II, and remained in ruins during the Soviet period.

After Latvia regained its independence, the church was returned to the Orthodox congregation and the cathedral was restored over the next ten years, the process being finished in 2003.