From the Reformation until 1791, Roman Catholic worship was illegal in England. Until the seventeenth century, priests risked execution; thereafter, social attitudes softened but criminal penalties remained. Thus there were no Catholic churches, although a few private chapels - generally in country houses - did exist.
That was a problem for ambassadors from Catholic countries, and the solution was to build chapels on the 'extra-territorial' embassy land. Our church, originally built in the early eighteenth century, was the chapel of the Portuguese embassy in Golden Square. In 1747, the Portuguese moved to South Audley Street (their chapel there would be demolished in 1831), and both house and chapel were taken over by the Bavarian embassy. Other embassy chapels included those of the embassies of France, Venice, Austria, Spain and Sardinia; they were increasingly used by English worshippers, since they were the only places where Mass could legally be said.
Anti-Catholic prejudice in the capital famously erupted in the Gordon Riots of 1780. The chapel in Warwick Street was badly damaged, and had to be rebuilt. In 1790, the current building was opened, its facade deliberately unremarkable, with yard-thick walls and fire-resistant doors lined with metal.
A year later, Catholic worship was made legal. In 1854, the chapel became a parish church although its nickname, the Bavarian chapel, lasted another half-century. Today, it is the last of the embassy chapels standing in London. Most were demolished; the Spanish Chapel was replaced by St James, Spanish Place in 1849 and the Sardinian Chapel by the church of St Anselm & St Caecilia, Kingsway in 1909.