In the early days of Coniston, the residents of the community did not have their own church. Instead, they had to walk to Wahnapitae every Sunday to attend services offered by Father Guillaume Lebel, the first and only missionary to preach in the Coniston area. In May of 1913, the Mond Nickel Company had completed its construction of operations in Coniston and was moving its workers from Victoria Mines to the Coniston community. When this occurred, church services for Coniston residents were moved from Wahnapitae to the old separate school.

Coniston maintained its missionary status until September of 1913 when Bishop D.J. Scollard officially named Coniston a separate parish; Our Lady of Mercy. With this decree, the first resident minister, Father P.M. Roussel arrived in Coniston. Upon his arrival, arrangements were made for the construction of the community's first Roman Catholic church. The land for the new building was donated by Mr. Wilfred Aubry of North Bay. Mr. Aubry, upon hearing of the Mond Nickel Company's relocation to Coniston, donated his farmland for the construction of a church.

Church services continued to be held in the former separate school throughout 1913 and into 1914. In the spring of 1914, construction began on the basement of the church and in July of that same year, Our Lady of Mercy Church was opened to its parishioners. The church blessing was performed on August 2, 1914 by Bishop Scollard on his first pastoral visit to Coniston. At the ceremony, forty-five children were given the Sacrament of Confirmation.

In November of 1918, Father J.H. Coallier replaced then priest, Father A.J. McMillan. It was during Father Coallier's term that the first rectory was built and in 1926, an addition was added to the church basement.

Our Lady of Mercy Church served both the French and English-speaking residents of Coniston for many years until, in 1954, Bishop Scollard established an English parish in the community (St. Paul the Apostle) and named Father R.F. Venti as its first minister.

In 1960, under the direction of Father O. Campeau, a new church was built to replace the old Our Lady of Mercy Church. Twenty years later, in 1980, a new rectory was also created.

Today, Our Lady of Mercy continues to serve the spiritual needs of the French-speaking residents of Coniston.