The cathedral in Penza was built in 1906 for the Catholic community. The initiators of the construction were church elders Grushetsky and Srednitsky, who in 1884 appealed to local authorities for the acquisition of a plot for a prayer house. Governor P.D. Svyatopolk-Mirsky approved the request only in 1897, and in January 1898, Emperor Nicholas II also gave his consent. With the authorities' permission, the prayer house opened in the Saburova house on Lekarskaya Street (now Volodarsky Street), but in the summer of 1901, the building burned down. In March 1902, a new request was submitted for the construction of a building in the form of a Catholic cathedral at the same location. After receiving permission, the community began construction funded by parishioner donations. The cathedral was built according to the design of engineer V.A. Artsish, revised by provincial architect A.S. Fedotov. After the construction was completed, on September 8, 1906, the cathedral was consecrated by priest K. Dovgialovich in honor of the Immaculate Conception of the Blessed Virgin Mary.

The building was executed in the traditional Gothic style with two pointed towers on the sides.

At the time of its opening, the Catholic community numbered 1,024 people.

In September 1931, the cathedral was closed; initially, it housed a builders' club, then a grain storage facility. After reconstruction, during which the towers were destroyed, it became the regional House of Education Workers.

Modern attempts by the Catholic community to reclaim the building have not yet been successful.