The church-chapel at the Archiepiscopal residence of Saratov bishops was built with the blessing of the holy martyr Germogen, Bishop of Saratov and Tsaritsyn. The project was developed in 1903 by Saratov architect Pyotr Mitrofanovich Zybin, and construction began shortly thereafter, completed in 1906. The sole altar was dedicated to the icon of the Mother of God 'Comfort in Sorrows and Griefs.' According to tradition, the church icon, commissioned by Bishop Germogen on Mount Athos, was an exact copy of the miraculous Athonite original. The church was also popularly known as 'Utoliy Moya Pechali.' Services in the chapel were held daily by the monastic brotherhood from the Archiepiscopal residence, which at the beginning of the 20th century consisted of 16 monks and 13 novices. During the Soviet era, the building remained almost in its original form but was used as the Saratov planetarium. In the 1960s, by order of the first secretary of the Saratov regional committee of the CPSU, the crosses were removed from the church, and it stood without them for some time. In 1965, Bishop Pimen Khmelevsky, then Bishop of Saratov and Volgograd, appealed to the authorities for permission to restore the church at the expense of the diocese. Although the city council rejected the proposal, it allocated funds for cosmetic repairs to the planetarium. With the permission of the first secretary of the regional committee A. I. Shibaev, the crosses were reinstalled on the domes. Later, lost elements were restored, and the cross above the main dome was gilded. Since then, the building has become a landmark of Saratov. In 1990, the church was transferred to the diocese, and a side extension was arranged as an altar dedicated to St. Sergius of Radonezh. An antimins saved from the destroyed seminary church, signed by Archbishop Palladiy Sherstenikov, was placed on the altar. The first rector was Archpriest Lazar Novokreshenykh, who renovated the interior, acquired icons, and built a bell tower. In 1993, Bishop Pimen consecrated the main altar of the church in honor of the icon of the Most Holy Theotokos 'Utoliy Moya Pechali.'

On October 15, 2004, an Archiepiscopal residence was organized based on the church's parish, which included a chapel in honor of the icon of the Mother of God 'Life-Giving Spring' in Theater Square, Saratov. In the same year, a large-scale restoration of the 'Utoliy Moya Pechali' church began, during which the altar was updated, and a new iconostasis was installed. After that, the interior decoration, icon cases, and analogs were replaced to create stylistic unity. In 2005 and 2006, similar changes occurred in the Sergius chapel of the church. The interior of the chapel was reconstructed, expanded by eliminating utility rooms, a vaulted ceiling was arranged, and a baptismal font for full immersion was installed. Work was completed on replacing the roof with copper. In 2006 and 2008, restoration work was carried out to update the external appearance of the church. One of the best parish libraries in the diocese was established at the church, with a catalog of over 8,500 books. Educational work is carried out through the Sunday school, Orthodox youth society, and the pilgrimage service 'Orthodox World.' On Sundays after the evening service, the rector holds discussions with parishioners. In November 2019, during restoration, the side colored domes were removed from the church. In the summer of 2020, all restored domes were returned to their place, and the facade was painted. On August 28, 2020, the scaffolding was removed. The current appearance of the church can be seen in the photograph.