From the very beginning, the church was conceived as a cemetery church. The wooden church was built shortly after land was allocated for a new city cemetery in 1784. It was constructed according to a model project that was attached to the first General Plan of Ryazan from 1780. In 1807, under Archbishop Ambrose, a new stone church was built in place of the wooden one, funded by court councilor and merchant Pyotr Alexeyevich Malshin. It housed three altars: the main one in honor of the icon of the Mother of God 'Joy of All Who Sorrow', the right one in honor of the righteous Alexius, a man of God, and the left one in honor of St. Onuphrius the Great. Next to the church, a house for the clergy was built simultaneously with its construction, funded by Pyotr Alexeyevich Malshin, as it was inconvenient to reach the church, located beyond the city limits. Malshin also planned to build a hospice near the church, but at the request of the city authorities, it was moved to the corner of Kurganskaya and Malshinskaya streets, now Mayakovsky and Svobody streets.

The architecture and interior design of the church reflected its purpose. The small size, intimacy, and coziness of the interior created an atmosphere intended not to evoke admiration and solemnity, but rather to calm and comfort the worshippers. In some ancient sources, the church was referred to as 'Consolation of All Who Sorrow'. The church houses a revered copy of the miraculous icon of the Most Holy Theotokos 'Joy of All Who Sorrow', which first gained fame in 1688 in Moscow, at the Transfiguration Church on Ordynka, through the healing of Euphemia, the sister of Patriarch Joachim. Also of interest is the Tikhvin icon of the Mother of God with a cover embroidered with beads by unknown artisans. Among the church's relics is the icon of the Great Martyr and Healer Panteleimon with a particle of his relics. The church's iconostasis was painted in 1878, and the walls were decorated by the famous Ryazan icon painter Nikolai Vasilyevich Shumov. Bishop Boris Skvortsov, who headed the Ryazan diocese from 1965 to 1972, is buried near the church. On the territory of the Sorrowful Cemetery, there is a chapel in honor of the holy blessed Lyubov of Ryazan, above her burial place.

During the Great Patriotic War, the Sorrowful Cemetery was used to bury those who died in hospitals in Ryazan from their wounds. Later, a memorial was erected here in memory of the heroic soldiers of the Great Patriotic War.