The Monastery of the Discalced Mercedarian Sisters of the Immaculate Conception was founded on the initiative of Doña María de Miranda y Leiva, widow of Don Juan de Zúñiga, Lord of Montalto; the founding documents were signed on January 11, 1606. Her executor, the priest Don Juan Pacheco de Alarcón, carried out the project, with the initial construction work concluding in 1609. The final church was built between 1653 and 1656, at the expense of Don Sebastián Cortizos. In 1672, further construction took place to shape the convent complex, with benefactors such as Don Juan Bautista Benavente.
Other benefactors included: the Marquises of Cerralbo, the Alvarado family, the Marquises of Vega del Pozo, the Rodríguez de los Ríos family, and the Marquises of Santiago.