The site of the church used to be almost surrounded by water, and an old legend calls the place "Heidningsholmen". The oldest known church in Egersund is St Mary's Church, which is mentioned in a papal letter from 1292.
Like today's church, it was a parish church and probably stood here. It is not known how long it existed, but at the beginning of the 17th century there was at least an old and worn church here, which was last repaired in 1619. When today's church was built between 1623 and 1634, the accounts for 1634 show an expense for food and beer for eight men to tear down "... det gamle støcke Kierke".
The church was originally built as a small long church, but after several expansions it now appears as a choir church. In the years 1785-1788, the church was remodelled and expanded by Ludvig Caspersen Feyling into today's architectural style, which is French-inspired and called "Louis Seize". Egersund church was the second largest in Rogaland at the end of the 19th century, with 1160 seats.