The church was constructed in 1668 and renovated in 1677 by bishop Leandros Zanthakis, whose name is inscribed above the entrance. The icon of the Virgin Mary and baby Jesus between Saint Domenicus and Saint Catherine of Sienna was transported to Mykonos from Venice in 1715. The same year, the church floor was tiled with marble and a gold-plated arch, donated by the Mykonian lady Maroussa Vitali, was placed around the icon. There is an inscription in the centre of the church commemorating this. In 1748 redecoration continued with Canon Fr. Foskolos of Tinos adding paintings to the altar (inscriptions noting this, however, are no longer visible).

A terrible fire on May 1st 1991 damaged part of the church, including the icon of the Virgin Mary above the altar. Church property – a priest's residence and a courtyard – was also lost. Luckily the icon was repaired in Tinos and returned to Mykonos in a grand ceremony hosted by Fr. Nicholas Printesi, Archbishop of Naxos. By October 1997 the church was restored and re-open to the public. In that same year 12,156 people signed the church's visitors book.