When the Holy Synod considered the request for permission to open the monastery and accept the gift, His Eminence Alexius began to take action. On September 17, 1862, a construction committee was formed, tasked with finding funds and starting the construction of the church at the spring. The committee included the abbot of the Kiziltash Monastery, Archimandrite Parfeny, who was killed by Tatars on August 22, 1866, priest Ioann Novitsky from the village of Saly (now Grushevka), church elder Iov Uzunbeev from Kishlav, and deacon Stefan Mikho. Archimandrite Parfeny was issued a collection book for donations, and Deacon Mikho was to oversee the building materials.

Funds for the construction of the church were raised quickly, and by May 1863, the committee began erecting the church, which was built in record time, in almost two months. By July 22 of the same year, the construction was completed. This was made possible by the energy and entrepreneurial spirit of Archimandrite Parfeny, who transformed the poor monastery into a thriving community in the name of St. Stephen of Surazh. He often rode from Kiziltash to assist the new monastery. The first monastery church, dedicated to St. Paraskeva the Martyr, became a kind of memorial to Archimandrite Parfeny, who met a martyr's death.

The church was small, with an area of only 5 square fathoms, but this was sufficient. It was surrounded by a covered gallery for the worshippers. The floor in the church was wooden, while in the gallery it was clay, and the nuns repaired it every week, filling in the cracks. His Eminence Alexius ordered the transfer of church utensils, priestly vestments, and a bell weighing 12 poods, collected by the pilgrim Andronicus, who later became a monk of the Kiziltash Monastery. The committee purchased two other bells in Simferopol. The vestments for the altar and the altars were provided from the archbishop's Cross Church.

On July 26, 1863, the day of the memory of St. Paraskeva the Martyr, Bishop Alexius solemnly consecrated the new church in the presence of a large crowd, and from that day on, services began there. Initially, the elderly hieromonk Pavel from the Kiziltash Monastery was assigned to serve here, remaining until 1868, after which he was succeeded by hieromonk Prokopy from the Bakhchisarai Assumption Monastery, who was a long-time spiritual mentor to the residents of the Paraskeva Monastery.