Its origin dates to 1590 when John Francesco di Sangro, Duke of Torremaggiore, after recovering from a serious illness, had a private chapel built in what were then the gardens of the nearby Sansevero family residence, the Palazzo Sansevero.
The chapel received its alternative name of Pietatella from a painting of the Virgin Mary (La Pietà), spotted there by an unjustly arrested prisoner, as reported in the book "Napoli Sacra" by Cesare d'Engenio Caracciolo in 1623.