When King Ferdinand was laying siege to Malaga in 1487 against the Moors, he set up camp where the present Church of La Victoria is. He put up a small chapel to keep the image of the Virgin with Child sent to him by the Emperor Maximilian of Austria. When King Ferdinand won the war, he attributed this to the Virgin. The monks of San Francisco de Paula, called Los Minimos, then built a small hermitage on this site. In 1691 the Conde de Buenavista had the small hermitage replaced with the big church one finds there, and this was completed in 1700. It now houses the image of the patron saint of Malaga, the Santa Maria de la Victoria (St. Mary of the Victory). This statue was given to the city by the Catholic Kings after their victory. During Holy Week, there is a lot of activity in this church and is where some processions start from or end there.

September 8 is the feast day of Our Virgin of La Victoria (Our Lady of Victory) and is a local holiday. This Virgin is the patron saint of Malaga. On the last Sunday in August, the statue of the Virgin is taken to the Cathedral where a novena is prayed. On the feast day, there is usually a long procession in the afternoon to the Church of La Victoria, when the statue is returned from the Cathedral.