This church was established in 1505, at the request of Queen Isabella, under the patronage of Our Lady of the Rosary, by order of the then Archbishop of Seville and Metropolitan of Malaga, the Dominican friar Fray Diego de Deza, (hence the possible name of the church, being the patron saint of that order), according to a Bull of Pope Innocent VIII and confirmed later, in 1510, by Pope Julius II.