In October 1860, Fr. Projectus Machebeuf, and Fr. J.B. Raverdy began the 400-mile journey from Santa Fe, New Mexico, north into Colorado Territory. Months later they arrived at the Arkansas River, at the present site of the city of Pueblo. Initially the priests celebrated mass in the homes of local Catholics, then they began to hold public services in the old Courthouse on 3rd and Santa Fe Avenue, until finally a proper church was established on 13th and West Streets. In 1873 it was the first parish in Pueblo, and it was called, St. Ignatius.

A fire destroyed St. Ignatius and its rectory in 1882. Under the direction of the Jesuit priests assigned to serve it, money was raised and second church was built. This time St. Ignatius was situated near the heart of the city, on Grand between 10th and 11th Streets.

Eventually it served as the parish hall when the present church was built under the pastorate of Msgr. Thomas Wolohan. In 1910, Msgr. Wolohan began planning for a new church to be dedicated to the Sacred Heart of Jesus. On May 5, 1912, the church cornerstone was laid, and within a year, Sacred Heart was dedicated by the Most Reverend Nicholas Matz, Archbishop of Denver.

The construction costs of the church was $48,000, and was realized with the help of the congregation of 190 families. Msgr. Wolohan served as pastor of Sacred Heart for thirty-six years. He is buried in a crypt in the cathedral.

On November 15, 1941, Sacred Heart was elevated to the status of a Cathedral with the establishment of the new Diocese of Pueblo. Since the establishment of Sacred Heart as a Cathedral, it has been served by eight rectors and administrators. In the past few years, the parish has grown from 930 families to well over 1,200. It truly has become a model of good liturgy and ministry for other parishes to emulate as the parish church of the Bishop.

In 1997, the Cathedral celebrated its 125th anniversary with a year long series of events. It adopted as its motto that year, Strong at Heart after 125 years.

In 1989, the Cathedral was added to the National Register of Historic Places by the U.S. Department of the Interior.