It was originally a Catholic church and was founded by Joan Baptista Despuig, a member of the Order of Santiago, who is buried inside the church near the altar. The church was originally part of the Santa Catalina de Siena convent and was constructed on the site of a former Muslim mosque. In the 13th century, the mosque, with some modifications, was converted into a Christian place of worship until a new Gothic-style church was built a century later.
The church was dedicated to Santa Catalina, a 14th-century nun who played an active role in the affairs of the Catholic Church. She was instrumental in convincing Pope Gregory XI to move the Holy See back to Rome.
In 1680, Francisco Herrera completed the building in an Italian style. The renovations included expanding the space and reorienting the main entrance towards Sant Miquel street. The church's original Gothic design, with a single nave, side chapels, a trapezoidal-shaped apse, and a half-barrel roof, was enhanced with a purely Baroque interior. These changes were made when the Dominican Monastery of Santa Catalina was established in Ciutat de Mallorca in 1661.
Although the church was declared a Historic Monument in 1964, the residential part of the monastery was unfortunately demolished two years later. In 2002, the church was handed over to the Russian Orthodox parish of Natividad Cristo (the Nativity of Christ), which is affiliated with the Moscow Patriarchate.