In 1860, after the signing of the Beijing Treaty, Russia obtained the right to open a consulate in the capital of Outer Mongolia, Urga. In 1863, the consulate staff arrived in Urga with a convoy of 20 Cossacks. They built the consulate building and an Orthodox church in honor of the Holy Trinity. The first service was held by the Transbaikal priest Ioann Nikolsky on March 22, 1864, which is considered the birthday of the Trinity parish.

For a long time, the church did not have a permanent rector, and services were conducted by priests from the Transbaikal and Chinese Spiritual Missions, as well as the Irkutsk diocese. On September 4, 1893, the synod appointed Nikolai Shastin, a former missionary of the Transbaikal Spiritual Mission, as the rector of the consular church. He served until 1914, after which the rector became the Irkutsk priest Feodor Parnyakov.

In April 1920, the church's elder became Colonel M. G. Tornovsky, who had emigrated from Russia. After his arrest by Chinese authorities in November 1920, related to an unsuccessful attempt to storm the city by the Asian division of Ungern-Sternberg, the Trinity Church was looted by the Kuomintang, except for the icons. After Ungern captured the city in February 1921, Feodor Parnyakov was killed after interrogation on suspicion of ties with the Bolsheviks.

The son of the first rector of the church, P. N. Shastin, who arrived in Urga in 1923 after the Mongolian revolution, became a prominent figure in healthcare in the MPR, and his daughter N. P. Shastina became a well-known Mongolist and translator. From 1927, the church was closed for religious use and was repurposed for other uses, later becoming a store.

Since 1996, priests of the Russian Orthodox Church began arriving in Ulaanbaatar. The reviving Orthodox community was served by the Chita diocese. On January 19, 1998, priest Anatoly Fesechko, the new rector of the Holy Trinity parish, arrived in Ulaanbaatar. On December 29, 1997, the Russian company OAO 'Vneshintorg' transferred the building on the territory of its trade representation, located opposite the old church, for the use of the Russian Orthodox Church.

On July 8, 2001, Metropolitan Kirill (Gundyaev) consecrated the cornerstone of the new Church in honor of the Holy Trinity. In 2005, priest Alexey Trubach became the rector of the parish, who in September 2006 discussed with the country's president Nambaryn Enkhbayar the issue of obtaining permission to build a full-fledged Orthodox church in the capital.

On June 21, 2009, on the Sunday of All Saints who shone in the land of Russia, the restored church was consecrated by Bishop Mark (Golovkov) of Yegoryevsk, the secretary of the Moscow Patriarchate for foreign institutions. At the entrance to the church are iconographic images of Alexander Nevsky, Dmitry Donskoy, Sergius of Radonezh, Russian saints associated with the history of Russian-Mongolian relations, as well as the first Mongolian saint Peter of Ordynsky.