The current Church of La O has its origins in an old hermitage/hospital dedicated to Saint Bridget of Ireland, run by a Brotherhood under the same name, according to 15th century documents that have been preserved. It was here where the contemplation of the Feast of the Expectation of the Blessed Virgin Mary, an ancient title for the Virgin Mary when she was pregnant and waiting to give birth (the titles of the the Virgin of the O and of Hope) began to be practised.
Later, between the 15th and 16th centuries, the brotherhoods of Nuestra Señora Santa María de la O and Santa Brígida and the Virgins Santa Justa and Rufina were created there.
In the last years of the 17th century, and due to the small size of the chapel and its poor state of conservation, it was decided to build a new temple. Work began in 1697 under the direction of the master builders Pedro and Félix Romero, sons of the then Church Estate Master of the Archbishopric, Pedro Romero, the author of the project.
The church was completed in 1702 and was solemnly inaugurated in February of the same year. In 1911 the church acquired the status of parish headquarters.