It is believed that the first Rokiškis church was built on the turn of the 15th-16th centuries. In 1590, a wooden church with 5 altars was built, and after it collapsed, a new church was built, which burned down in 1864.
The tsar's government was against the construction of new prayer houses, but thanks to the acquaintances of the founder of the church, Count Reinoldas Tyzenhauzas and the diplomacy of Samogitian Bishop Motiejaus Valančius, in 1866, a permission to build a church was obtained. The author of the project was architect Friedrich Gustav von Schacht, his project was supplemented and construction drawings were prepared by Max Paul Bertschy, the construction consultant was Johan Daniel Felsko.
In 1868, the foundation has been laid; in 1875, the vaults were brought together and the roof was covered. Although the interior equipment was still missing, a temporary altar stood in the church, and an organ brought from Paris was installed. On December 4, 1877, the church was consecrated and services began to be held there. In 1879, the burial crypt of the family of the Counts of Rokiškis was installed and consecrated.
In 1880, R. Tyzenhauzas died. The count was buried in a red marble sarcophagus in the crypt. The church construction works were continued by his sister Marija Tyzenhauzaitė-Pšezdzieckienė. She harboured broader ambitions than her brother and hired architect Georg Werner from Tyrol. In 1882, a gilded bronze altar made in Paris was placed on the white marble steps. However, the altar standing at the back of the church seemed low, so a magnificent Gothic canopy, carved in the Gojeri workshop in Belgium was placed above it in 1885. These craftsmen made all the wooden equipment of the church - pulpit, side altars, auditoriums, presbytery fence, doors, tables, benches, and the organ cabinet. The founders tried to remind their family in many details of the church - family coats of arms are depicted in stained glass windows, their names are written on the pulpit, on the foundation board on the back wall of the great altar, and in the bells. However, the greatest respect for the founding family is expressed by the bronze sculptures of two family representatives in the presbytery. On its left, there are the sculptures of Engelbrecht von Tyzenhausen, the founder of the family, and on the right – of Reinoldas Tyzenhauzas. On the palm of the latter, there is a model of the Rokiškis church.
In 1883, the St. Joseph's Chapel was built near the church. The chapel was intended for funeral services, but it could not accommodate many people, so later these services were held in the church. In the same year, a 56.5 m tower was built, with a gallery connected to the church. Three bells, cast in Warsaw, at the Zvolinski foundry, were placed in the tower. They were baptized as St. Constantine, St. Zbygniew, and St. Reynold. During the First World War, the bells were taken to Russia. Instead of them, the former bell of the Vilnius Cathedral (made by Daniel Werner in 1822) was brought to Rokiškis in 1923. In addition, two bells - St. Matthew and St. Francis, made in the oldest European bell foundry located in the Italian town of Angiona, - were installed in the belfry.