The yellow church on Bolshaya Ordynka appears to be a single work of art, created at one time. However, this impression is misleading, as it consists of two parts built at different times. Inside, one can see interiors preserved from ancient times.

Originally, in the 16th century, there stood a wooden church dedicated to Varlaam of Khutyn. In the following century, a new wooden church named Spaso-Preobrazhensky was built in its place, with a chapel for Varlaam. In 1683 and 1685, it was replaced by a stone temple with the same name. It was from here that the veneration of the icon of the Most Holy Theotokos "All Who Sorrow" began, after the widow Yefimiya Akinfieva, sister of Patriarch Joachim, was healed after praying before this icon. In 1713, a second chapel in honor of the icon was consecrated in the church, and it began to be called the Sorrowful Church.

In 1783 and 1791, the refectory and bell tower were rebuilt with funds from merchant Afanasy Dolgov, whose estate was located opposite. The work was carried out by architect Vasily Bazhenov. The main part of the church was later reconstructed after the Moscow fire, funded by the Kumanyin brothers and the Dolgov sons. Architect Osip Bove erected a new church in the form of a rotunda in 1832 and 1836. He aimed for his work to harmonize with Bazhenov's. Both parts are executed in a unified style and color scheme. The interior decoration also belongs to Bove, including the iconostasis and cast-iron floor.

In 1933, services ceased, but the interior was preserved as the church came under the management of the Tretyakov Gallery. In 1948, the church reopened and has not closed since. Today, one can admire both the facades and the interior decoration. Since 2010, a Synodal choir has been active at the church, which can be heard during services and concerts.

From June 2012 to November 2013, repair and restoration work was carried out. The building had suffered greatly from time, the roof was almost destroyed, the walls were affected by mold, and the windows and doors were in emergency condition. Thanks to the efforts of the rector, Hieromonk Georgy (Isakov), parishioners, and benefactors, the church regained its original appearance, restoring the bell tower.

In 2014, the church became a laureate of the Moscow Government competition for the best project in the field of preservation and popularization of cultural heritage sites.