This was built between 1841 and 1844 in West Street, on the site of the medieval Church of St. Nicholas, at the instigation of the Dowager Countess of Pembroke and her son, Lord Herbert of Lea.It is unusual for an Anglican parish church in that it is built on a north-south axis; this was said to be the wish of the Countess as it was the custom for churches in her native Russia, but this is not the case and it is most likely that the restricted nature of the site caused this alignment. The architects were T.H. Wyatt and D. Brandon and it is in the Romanesque style, being an imitation of a basilica in Lombardy. The building cost £20,000. The influence of members of the Pembroke family in the style and fittings was considerable. There is an aisled and clerestoried nave with an aisled chancel and an apse. A campanile, 105 feet high, is connected to the church by a short cloister. Much material of early workmanship was imported from Europe and incorporated into the church. Examples are the marble columns at the southern end of the side aisle which came from a 2nd century B.C. Temple of Venus at Porto Venere, and 12th and 13th century stained glass from France that was set in the central apse window. Glass from the old chapel at Wilton House was also included. Many tablets and memorials were brought from the old parish church of St. Mary, which was partly demolished in 1845. The six bells from there were also recast for the new church.
The church was consecrated on 9th October 1845 and three charites were established for its maintenance.
It quickly became a showpiece and extra curates were needed to cope with the large congregations attracted to it. Unfortunately the original design copied was intended for a warm, dry Mediterranean climate and by 1885 the fabric needed repair and the problems of leaks, draughts and damp persist to this day.The churchyard was closed for burials in 1890 when the site of the present cemetery on the Shaftesbury Road was bought. In 2000 a new set of Millennium bells were installed and the old ones sent to Lismore in Australia. The parish registers, including those of the earlier church of St. Mary, from 1615 (marriages), 1626 (births) and 1663 (burials), other than those in current use, are held in the Wiltshire and Swindon History Centre in Chippenham.