This was built in 1866, largely through the efforts of the Rev. B.C. Dowding, vicar of St. James, for the spiritual needs of the people in the Nursery and Piccadilly areas to the west of the town. Houses had been built in this area when the canal was constructed around 1810 and these were later occupied by the families of the bargees. At one time Dowding had considered fitting out a barge on the canal to serve as a chapel. The church also served militiamen in neighbouring barracks. The church was built in Bath and Ham stone to the design of Slater and Carpenter of London and was consecrated on 17th July 1866.
At first the church comprised a chancel with octagonal apse, a nave of four bays, a west bell cote and a north porch. A south aisle, now the Lady Chapel, a vestry and organ chamber were added in 1884. The west window, a 1934 memorial to the Dowding family, is said to be one of the best examples of modern stained glass in Wiltshire. The registers from 1866 for christenings and from 1868 for marriages, other than those in current use, are held in the Wiltshire and Swindon History Centre.