All Saints Church was organized as a mission in 1904 and became a parish in 1914. In 1912, noted architect Ralph Adams Cram began design work for a church building in the Colonial Revival and Gothic Revival styles. One of his models was St. Mary the Virgin Church in Iffley, Oxfordshire, England. Since Cram's commission was from an individual donor, Mary Lyon Cheney Schofield, rather than from a church body, he was not required to make the artistic compromises that might otherwise have been required. The church has been called "one of the most satisfying works of one of America's more important architects."
The stained glass windows were designed by Charles Connick, The first service in the new church was on August 8, 1920.