According to the life of Princess Olga, after she became a widow and accepted Christianity, she visited her homeland. While resting by the river on a cloudy day, Olga noticed how the sun's rays broke through the clouds, illuminating a wooded cape on the opposite bank. She took this as a good sign and ordered the construction of the Trinity Cathedral and Pleskov Grad, which later became Pskov. A memorial cross was erected at the site of the miraculous sign, and then Olga's Chapel was built. The exact date of construction is unknown, but the chapel was demolished in 1960.

In 2000, the destroyed shrine of Pskov was revived: a new Olga's Chapel was erected on an artificial platform by the embankment opposite the Pskov Kremlin. Its architecture resembles the Cathedral of the Nativity of John the Baptist. The composition is based on an equilateral cross, the facades are adorned with zakomaras, and the light drum is topped with a helmet-shaped dome, giving the chapel a look characteristic of churches from the 10th-11th centuries.

The semicircular wall of the observation platform facing the river is finished with natural stone, and on the sides, there are two staircases leading to a niche with consecrated water.

The chapel is affiliated with the Assumption Church from Paroma, located nearby. At the opening, parishioners donated two icons for it, one modern and the other antique.