The chapel was built during the munificence of Bishop Baldassare Cagliares (1615-1633) in 1625 and according to historians it was built on the site of another chapel dedicated to St. Nicholas of Bari. In a report of the Apostolic Visitation in 1575, Pietro Dusina wrote that, "people flocked to that chapel with utmost devotion."

The chapel has a simple facade with a typical round window and an arched ceiling. Bishop Cagliares, who also built Palazzo Cagliares, adorned the chapel with a beautiful altarpiece representing the flight of Saint Joseph to Egypt. This work is attributed to Filippo Paladino, a late Mannerist artist. However the painting we now see inside the chapel is a copy made in 1980. The original is housed in the Cathedral Museum.