This hermitage, located on a hill outside the town walls, was originally a simple wayside shrine. Construction of a hermitage dedicated to Calvary began on this site in 1612, along with a Stations of the Cross, remnants of which are still preserved today, along the section of the Castile Road that led from the town to the hill and ended on its slopes. Once the hermitage was completed, no later than 1614, it housed a Crucifix, the Christ of Calvary, and an image of Our Lady of Good Fortune, who would later be named Patron Saint of Cieza. The small hermitage was demolished in the second half of the 19th century to build the current, larger, Neo-Gothic structure, which was completed in 1879. Although the hermitage continued to house the image of Our Lady of Good Fortune until 1963, popular devotion ultimately consecrated it to the aforementioned crucifix, highly venerated by the people of Cieza, now under the title of the Holy Christ of Consolation.

From the late 19th century until the mid-20th century, it housed a number of Holy Week processional floats (Holy Christ of Consolation, Saint John, Saint Peter, the Samaritan Woman, the Risen Christ, etc.); today, the Christ of Consolation is still kept within its walls.