This pre-Baroque chapel of the Venerable Third Order of Saint Francis has been a National Monument since 1969, on account of its singular beauty and decoration, including the baldachin that houses the image of Christ of Sorrows, above the main altar, designed by Sebastián de Herrera and created in 1664 by Juan Ursularre Echevarría.

In 1608, the Brotherhood of the Third Order was officially founded in Madrid, joined by illustrious figures such as Cervantes, Lope de Vega, Quevedo and Calderón de la Barca. To celebrate their meetings and acts of worship, brothers of the Order decided in 1613 to build a modest chapel that, once completed, was insufficient on account of the substantial growth experienced by the Brotherhood during those years. And so they decided to build a larger church, which is the one that exists today.

The new chapel was built between 1662 and 1668 by the builder Marcos López, following the plans of the Jesuit Francisco Bautista and the painter and sculptor Sebastián de Herrera. It has a rectangular layout with a single nave, no lateral chapels, and no transversal nave.