The foundation of the monastery was promoted by Enrique Enriquez, Comendador Mayor of the Order of Santiago of the Province of Leon (maternal uncle of Don Fernando el Católico and grandson of Don Fabrique Enriquez and a Jewess from Guadalcanal nicknamed "La Paloma") and his wife Doña Maria de Luna, on a trip they made to Guadalcanal in 1489.
Construction began at an ancient, highly venerated shrine called Nuestra Señora de la Piedad. It was inaugurated on San Felipe and Santiago’s Day, with a solemn procession from the parish church of Santa María, on 1 May 1495.
In the visitor's books of the Order of Santiago this monastery is mentioned in 1496 and 1515.
On 31 December 1835, following exclaustration, worship was suppressed in the monastery and the images were transferred to Santa María, including the image of La Soledad.
It is currently the Municipal Cemetery.