A monument on the south wall of the church to its foundress, Edith Arendrup, justly proclaims: “It was through her Christian vision that this parish of the Sacred Heart came into being; it was through her generosity the church was built.” Edith Arendrup was a member of the wealthy Courtauld family. She came to live in Wimbledon in 1877 at a time when there were few Catholics in the area and persuaded the Jesuits at Roehampton to start a Mass-centre at her house in Cottenham Park. Only seven years later she decided to have a large church built in a prominent position on the slopes of Edge Hill. She commissioned a young architect, Frederick Walters, to design it in the late Decorated Gothic style.
The nave of the new church was opened on the feast of the Sacred Heart, 17 June 1887. Over the next fourteen years the rest of the building was completed: first the sanctuary and south aisle in 1895, then the back chapels in 1896, the north aisle and sacristy in 1898, and finally the west front in 1901. On the original plan there was to have been a large and impressive tower here, but money ran out and it had to be replaced by twin turrets and a massive, traceried window.