Located on the central Via Aubert, near the Regional Library, the church was built in 1682-’83 by the Confraternity of Mercy, which was tasked with assisting prisoners and accompanying the condemned to the gallows. The Confraternity provided the materials, and Jean-Boniface Festaz, the general treasurer of the Duchy of Aosta and founder of the Charity Hospice, paid for the labor costs.

The 19th-century trompe-l'œil decoration on the façade simulates an architecture that includes a painting depicting the Finding of the True Cross by Saint Helena, mother of Emperor Constantine.

The interior preserves furnishings from various periods from the 17th to the 19th century. The sumptuous main altar in the Valsesian Baroque style is likely due to the generosity of the prior of Sant'Orso Charles-Hyacinte Beltram, who made significant donations to the Confraternity in 1737.