The dedication of the church to Saint Alexander Nevsky is linked to the miraculous salvation of Emperor Alexander II after an assassination attempt by the Narodnaya Volya in 1866. Initially, the church was dedicated to Saint Nicholas the Wonderworker, which is associated with the presence of the icon of Saint Nicholas the Wonderworker from Velikoretsk in Vologda in 1556.

Until 1869, the main altar of the church was consecrated in honor of Saint Nicholas the Wonderworker. The construction of the original church is connected to the arrival in Vologda in 1556 of a copy of the Velikoretsk icon of Saint Nicholas the Wonderworker. This icon, originating from Vyatka, was brought to Moscow for restoration by order of Ivan the Terrible in 1555, carried in a procession along the rivers Vyatka, Kama, Volga, Oka, and Moscow. In Moscow, the icon was ceremoniously welcomed, a copy was made, and a chapel dedicated to Nicholas the Wonderworker was laid in the under-construction Protection Cathedral on the Moat. The return journey of the icon to Vyatka in 1556 passed through Vologda, Veliky Ustyug, and Solvychegodsk, where copies were made in the towns and monasteries. Initially, the church of Saint Nicholas the Wonderworker in Vologda was located at the Old Market opposite the Ilyinsky Monastery. No later than 1612, it was moved inside the Kremlin to the Sophia Cathedral, where all subsequent church buildings were constructed. The place where the new church was built was called Izvest' (Lime), later known as Izvestnaya Gora (Lime Mountain), possibly due to the lime reserves stored there during the construction of the Vologda Kremlin.

Until the end of the 18th century, the buildings of the church of Saint Nicholas the Wonderworker were wooden. In 1627, it was a wooden church with a refectory. In 1698, the church is mentioned in connection with a fire that destroyed it along with all the buildings on the banks of the Vologda River from the Ascension Church to the Sophia Cathedral. The existing stone building of the church was constructed in the second half of the 18th century, but no later than 1782. In 1811, the main altar of the church was reconsecrated in the name of the Uncreated Image of the Lord. In the warm church, the refectory had altars consecrated: on the right, in the name of Saint Nicholas the Wonderworker, on the left, in the name of the Venerable Cyril of Novoezersk. In the early 19th century, due to new urban planning policies that mandated the construction of administrative buildings in the central quarters of the city, the parish of the Nicholas Church on Izvest' was significantly reduced. After 1826, the church became a non-parish church and was attached to the cathedral, and the parishioners were assigned to the Protection Church. In 1869, in memory of the miraculous salvation of Emperor Alexander II, the church was reconsecrated in the name of Saint Alexander Nevsky. In the 1860s, the church was renovated and remodeled inside, and the tented bell tower was replaced with the existing spire.

After the transfer of the 198th Alexander Nevsky Infantry Regiment to Vologda in 1910, the Church of Alexander Nevsky became the only regimental military church in the city.

In 1924, the church was closed. The building, nationalized, was used as a dormitory, warehouse, the administration of 'Glavkinoprokata', and a ski base. During the war in 1941 and 1945, the building housed a military unit. During the Soviet era, the church suffered greatly, losing the spire of the bell tower and the cross above the cold church. In 1978, the Church of Alexander Nevsky was placed under state protection as a monument of regional significance. After restoration in the 1980s, the church building was transferred to the regional local history museum, and in 1997 it was returned to the Vologda Diocese. The first rector of the revived church was Priest Andrey Pylyov. After restoration work on November 20, 1997, on the day of remembrance of Venerable Cyril of Novoezersk, the first liturgy was held. On December 6, 1997, the main altar was consecrated. The altar of Cyril of Novoezersk was renewed after the discovery of the icon of the saint, which was brought to the church by one of the parishioners.