In 1800 the house of George West, commonly called Holm Farm was registered for Methodist worship. During 1812 the house belonging to Thomas Young, Methodist, was also registered. In 1816 the premises of the William brothers, Methodists, with Mark Daniell of Shaftesbury, minister of the gospel, could be found. Another possible Methodist certification took place in 1820 for the house of the farmer William Candy which belonged to Joseph Simms of Wimbourne, Dorset. In 1828 the house of William Henry Oxdale Eden, was certified as being Wesleyan Methodist. Also listed was the name of James Durbar, of Shaftesbury, Dorset, Wesleyan Minister.
A Wesleyan Chapel was built on the west side of The Street at the lower part of Church Hill in 1837. In 1844 the listing read 'Donhead St. Mary. A building, the Wesleyan Methodist Chapel, in Donhead Street adjoining the premises of George Goddard, brewer. Wesleyan Methodist. Thomas Rogerson of Shaftesbury, Wesleyan Methodist minister'. The head gardener of Donhead Hall was one of the instigators in its building and for many years following the congregation were allowed into Donhead House gardens for a treat each year.
The chapel was rebuilt in 1868 and is part of the Shaftesbury and Gillingham Wesleyan Methodist Circuit. It still remains open.