In 1820 the Anglican presence in Western Canada was established when the Rev. John West arrived in York Factory. He then came to Fort Douglas (now in present-day Winnipeg), which was part of the Red River Settlement, and held the first Church of England service in the colony. In 1823, a year after founding the first Anglican mission in Western Canada, the Rev. West returned to England and the Rev. David Jones came to Red River to assume his duties. Jones built St. Paul's Anglican Church in Middlechurch, east of St. Andrew's. The Red River colony continued to grow and in 1849 David Anderson was named the first bishop of the Diocese of Rupert's Land, which consisted of all lands draining into Hudson's Bay. David Anderson was born in London, England in 1814 and educated at Edinburgh and Oxford (B.A. 1836, M.A. 1839, D.D. 1849). After several curacies in England, Davidson was nominated first bishop of the Diocese of Rupert's Land, and he was consecrated in 1849. He was bishop and Hudson's Bay Company chaplain until 1864. He died in Bristol, England in 1885. Robert Machray was born in 1831 in Aberdeen, Scotland. Educated at King's College, Aberdeen, and Sidney Sussex College, Cambridge, he received prizes in mathematics, philosophy and divinity. He was ordained in 1855, served in English parishes and was dean of Sidney Sussex College from 1859-62. Machray succeeded David Anderson as bishop of Rupert's Land and he was consecrated in June 1865. During his years there he helped extend and consolidate the church's work and built up St John's College, the colony's first Anglican college. Machray became first metropolitan of the new ecclesiastical province of Rupert's Land in 1875 with the title of archbishop, and first Primate of All Canada in 1893. He died in office in Winnipeg in 1904.

In 1822, the Rev. West founded a Church Mission House near the southeast corner of the present cemetery. In 1833, it was replaced by a second church built on the site of the present Cathedral (135 Anderson Avenue). This second church became the first Anglican Cathedral in Western Canada and named St. John's Cathedral soon after the first Bishop of Rupert's Land was consecrated in 1849. The third church on this site was built in 1866. Under the guidance and inspiration of the late Archbishop Samuel P. Matheson the present building (the fourth church) was reconstructed in 1926 using most of the stone from the previous building.