Russian white émigrés, finding themselves in exile, immediately began to build their churches, which became places of attraction and comfort for them. In 1925, the first white émigré Church of the Holy Trinity was established in Belgrade, known among locals as the Russian Church.

The idea of constructing the Church of the Holy Trinity belonged to the Russian church community in Belgrade, founded by Protopresbyter Peter Belovidov in November 1920. In the early 1920s, Belgrade became a center of spiritual and civil attraction for Russian white émigrés living in the Kingdom of Serbs, Croats, and Slovenes.

The laying of the church took place on September 21, 1924, and its consecration on January 4, 1925. The ceremony was attended by the Commander-in-Chief of the Russian Army, Baron Peter Nikolayevich Wrangel, and other high-ranking officials, as well as spiritual and civil leaders of the Russian émigrés.

The construction of the Church of the Holy Trinity was made possible thanks to the financial support of the Serbian government. The Chairman of the Council of Ministers, Nikola Pašić, allocated 40,000 dinars from the treasury, and two brick factories provided their products for free. The construction was led by the outstanding Russian architect Valery Vladimirovich Stashevsky, known for his works in the Russian Empire and Yugoslavia.

The first rector of the church was Peter Belovidov, who led the parish until his death in 1940. He was succeeded by Priest John Sokal, a future Orthodox bishop, who held this position until 1950.

Patriarchs of Serbia Dimitrije and Varnava served at the Trinity Church. Here, King Alexander I Karađorđević, Queen Maria, members of the royal family, Serbian ministers, foreign diplomats, and ordinary townspeople prayed alongside Russian white émigrés.

In 1929, the Commander-in-Chief of the Russian Army and leader of the White Movement, Peter Nikolayevich Wrangel, who died a year earlier in Brussels, was reburied in the church. Until 1944, the church housed the battle flags of the Russian Imperial Army, as well as trophies from Napoleon and Ottoman troops captured in past centuries.

Before the arrival of the Soviet army and Tito's partisans, Russian white émigrés fled Yugoslavia en masse to escape inevitable reprisals. They took with them all the flags stored in the church. Those remaining in the city faced repression, and in April 1945, the church was accepted into communion with the Moscow Patriarchate and came under its jurisdiction.

In 1946, the church received the status of a Representation of the Russian Orthodox Church in Belgrade and was part of the stavropegial district of Russian Orthodox parishes in Yugoslavia. In 1954, by decision of the Holy Synod of the Russian Orthodox Church, the district was abolished, and all churches within it, except for the Trinity Church in Belgrade and the Iveron Chapel at the Russian cemetery, were transferred to the jurisdiction of the Serbian Orthodox Church.

In 1957, the Representation was visited by Patriarch Alexy I of Moscow and all Rus, who celebrated the liturgy in the church.

The church was severely damaged as a result of a missile strike in April 1999 on the telecommunications complex during the bombing of Yugoslavia, but it survived, and restoration began in 2000. On March 25, 2007, the consecration of the restored church was performed by Metropolitan Kirill Gundyaev, the current Patriarch of the Russian Orthodox Church. Since then, the church has been reopened for visits and services, and it is one of the most popular in Serbia.