Mary Immaculate was established in 1940 as a mission of the Italian Regina Coeli parish. The mission was established to meet the needs of the Italian residents of the East North Side. In 1939 the priests of Regina Coeli conducted a census of the East North Side and found about 400 families in the district. In 1940, the bishop gave his permission for the parish to establish a mission there. The first Mass in the new mission was celebrated in the American Legion Hall on July 21, 1940. Mass continued to be held in the American Legion Hall until the mission could get its own church.
On December 24, 1940, the parish purchased the Tenth United Presbyterian Church. Renovations to the building began on February 1, 1941. The new church was dedicated on June 29, 1941. This church remained a mission of Regina Coeli until 1964. In that year, St. Cyprian Church was sold and slated for destruction to make room for an urban renewal project. Mary Immaculate was merged with St. Cyprian to form the new Mary Immaculate-St. Cyprian parish. Mary Immaculate Church remained open to serve as the church for the new congregation.