The Church is near Bryanston Square and Montagu Square in the neoclassical Portman Estate area of London, which was developed by Henry William Portman in the 18th century.

A chapel of ease called the Quebec Chapel was founded on the present site in 1787 to commemorate the Battle of Quebec. It is thought that this chapel was built on the site of the riding school of the Portman Barracks. By the early 20th century the chapel had fallen into disrepair and it was demolished in 1911.

The Annunciation Church has always been closely associated with the Anglo-Catholic movement started in the mid 19th century, and in the early part of the 20th century.

The present church was designed by the English architect Sir Walter Tapper and built in 1912-1913. Tapper was a pupil of George Frederick Bodley, a leading designer of Mediaeval Revival architecture. It is a tall red brick church designed in the Late Gothic Revival (or Edwardian Gothic) style. It features stone dressings and flying buttresses and a gabled bell tower. The single bell was cast in 1913 by John Warner & Sons of Spitalfields.

The organ was built in 1915 by Sir Frederick Rothwell with a case also designed by Tapper. The organ underwent restoration by Bishop & Son organ builders in 1989.