Construction of the first church of Our Lady of Grace was started at the end of the fifteenth century under Captain Álvaro de Caminha. This church was situated near the present cathedral. It became the seat of a diocese in 1534. The building was reconstructed between 1576 and 1578, during the reign of King Sebastian of Portugal. In 1784, it was in poor condition with the frontispiece broken. In 1814 it was rebuilt at the initiative of the local population.