The church began on or before 1806, with its pastor being early Methodist circuit riders. The first known building was constructed around 1840, located on the outskirts of town on Deepstep Road. In 1859, a white frame church was built on the present location and this church escaped General Sherman's visit to Sandersville on November 26, 1864. Rev. James D. Anthony managed to stop General Sherman's destruction. Union soldiers camped that evening in the church and parsonage yard, used the picket fence for cooking fuel, dined courtesy of the Anthony turnip patch and took his cow with them when they left the following morning. Nevertheless, the church was left relatively undisturbed, while a block away, the town square was burned down.
The first brick building was finished in 1902, but it was struck by lightning on August 15, 1938, and was almost completely destroyed. The present building was built largely on the foundation of the first sanctuary. It is brick with marble columns, steps, and trim, with stained glass windows. Three sessions of the South Georgia Annual Conference have been held in Sandersville in 1879, 1887, and 1903.