The church was built for the 7th Earl of Westmorland, John Fane, in 1744 to 1746, probably to a design by Roger Morris. It replaced the mediaeval church next to the castle when the castle was enlarged.

The church was designed like a Roman basilica. The ornate tower and spire are similar to several significant town churches, for examples St Martins-in-the-fields. The Palladian-style stone structure has been described as "the outstanding 18th-century church in the county, in scale, ambition and architectural interest"

Mediaeval monuments and 16th and 17th century round glass from the earlier church were incorporated, and there are several 19th-century windows. The Lady Chapel to the south west of the church contains a tomb to Sir Thomas Fane (1510-1598) and his wife Mary, with their sons Francis and George kneeling at the base.