The Baptist work in Australia began in Sydney in 1831, forty-three years after the British penal colony was established. The first preacher was John McKaeg.The first baptism was in Woolloomooloo Bay in 1832. It was not until 1835 that the first church was established in Hobart Town by Henry Dowling, a strict Calvinist.John Saunders, sent by the Baptist Missionary Society of England, formed a second church in 1836.The first state Union was formed in Victoria in 1862.he first baptism was in Woolloomooloo Bay in 1832. It was not until 1835 that the first church was established in Hobart Town by Henry Dowling, a strict Calvinist. John Saunders, sent by the Baptist Missionary Society of England, formed a second church in 1836. The first state Union was formed in Victoria in 1862.