After the assassination of the Governor-General of Moscow, Grand Duke Sergei Alexandrovich, in 1905, his widow, Grand Duchess Elizabeth Feodorovna, sold part of her jewelry to acquire a merchant estate on Bolshaya Ordynka. There, she began to establish the Marfo-Mariinsky Convent of Mercy, dedicated to two sisters: Martha, symbolizing service to one's neighbor, and Mary, embodying spiritual life. The convent was intended to help the sick and the poor, as well as to comfort those in grief and sorrow.

On May 22, 1908, on the feast of the Ascension of the Lord, the foundation stone of the cathedral church in honor of the Protection of the Holy Virgin was laid. The church was built until 1912 under the guidance of architect A. Shchusev in the style of ancient Russian architecture. For the church's frescoes, Elizabeth Feodorovna invited artists Mikhail Nesterov, Pavel Korin, and sculptor Sergey Konenkov. Nesterov created compositions such as "The Way to Christ" with 25 figures, "Christ with Martha and Mary," "The Morning of the Resurrection," as well as the dome painting of God the Father and the image of the Savior above the portal. A secret staircase leading to an underground burial vault, painted by Korin on the theme "The Way of the Righteous to the Lord," was arranged in the church, where the abbess bequeathed to be buried. The facade of the Protection Church depicted a view of Jerusalem with the rotunda of the Holy Sepulchre and the dome of the Church of Mary Magdalene, in memory of a visit to the Holy Land. The twelve bells of the belfry were tuned to the "Rostov Bell Ringing." The small church, designed for a thousand people, was also intended as a lecture hall. In the 1920s, the Protection Cathedral housed a house of sanitary education, and later restoration workshops. In the hospital building with the church of Saints Martha and Mary, there was an outpatient clinic named after Professor F.A. Rein.

The revival of the convent began in 1990 with the opening of a monument to Grand Duchess Elizabeth Feodorovna, created by V.M. Klykov in the courtyard of the convent. Today, the convent lives a new life, continuing to follow the goals laid down even in the pre-revolutionary era.