Before the start of World War II, only a few Russian Orthodox families lived in Melbourne. In 1949, newly arrived immigrants established the Protection parish. Since there was no church of their own, services were held in rented premises.

By 1954, the Protection parish in Melbourne had become one of the largest in the diocese and acquired an empty neo-Gothic church in Collingwood. The community continued to grow, and in the 1960s, the main hall was reconstructed and expanded, but it still could not accommodate everyone. It was decided to build a new church, but choosing a location and purchasing land proved to be complicated and lengthy.

On November 5, 1989, Archbishop Pavel (Pavlov) laid the foundation stone of the new cathedral in the presence of the entire clergy of the state of Victoria. A piece of the relics of the martyr Grand Duchess Elizabeth was placed in the cornerstone in a copper-brass cylinder, in accordance with the ancient Christian tradition of building churches over the graves of holy martyrs.

The construction committee concluded that the parish could only manage the project if the construction was mainly carried out by its own efforts. The elder Innokenty Pavlovich Kozulin, elected in 1988, led a team of volunteers, most of whom had construction experience. According to Archpriest Nikolai Karypov, all concrete, carpentry, welding, and plastering work was done by volunteers. Masters from Russia were invited for wood carving, who made the iconostasis and other kiosks. The builders tried to recreate the church in the Yaroslavl style of the 16th-17th centuries, using modern technologies.

Twelve years were spent on exterior work, and seven on interior decoration. In February 1996, gilded domes were installed, topped with crosses in October of the same year. The construction of the cathedral was completed in the early 2000s. In 2005-2006, the hall, concrete parking lot, and paths around the church were finished. Work began on landscaping the area and planting greenery. On September 24, 2006, Archbishop Ilarion (Kapral) performed the great consecration of the new Protection Cathedral.