The building of this church that eventually became the parish church is related to the vision of Anglu Grech. Anglu, a farmer nicknamed 'Tax-Xini' who lived in the vicinity, used to take his sheep and goats to the spring every day. While the flock quenched its thirst, he sought shade under a carob tree (Harruba) and often knelt down in prayer. One day, he beheld a vision just across the spring. A beautiful lady dressed immaculately white invited him to raise a statue in her honour on a lip of land close by. He understood. A shrine would enhance his prayers and encourage fellow farmers to raise their minds to God. Anglu lost now time. He shared the message with his farmer friends and in a matter of weeks they constructed a stone plinth, sculpted a large statue of the Blessed Virgin of Loreto, and raised into its top. At the time there was still no chapel in the vicinity, so every evening the farmers and their families fathered around the statue to recite the Holy Rosary. After the statue was placed in niche, people used to gather around it to recite the Rosary. The year in which these events took place is not know. However the oral tradition was very strong and was supported by interviews carried out by the first parish priest of Ghajnsielem with persons from Nadur. At that time, Ghajnsielem was within the parish of Nadur. The presence of the niche induced the Nadur Parish priest to organise an annual procession on the day of the apparition. On that occasion, the parish priest accompanied by the clergy of Nadur would sing vespers and deliver a homily.

Without loss of time, the people obtained permission from Dun Frangisk Sapiano, parish priest of Nadur, to build a small chapel. They were led Ghajnsilmizi Indri Xuereb and Frangisk Mercieca and in 1810, the people began to raise a small chapel close by. Situated in the middle of the village (Independence Square) the first stone was laid on a Sunday in the year 1810 by the archpriest of Nadur. Its construction was in the hands of chief mason Frangisk Gafa. Works progressed briskly for many people of the locality regularly offered a day's work for free. By the year 1820 the church was completed. It was dedicated to the Blessed Virgin Mary of Loreto. Loreto, near Ancona, Italy, is the site of the Holy House, alleged to have been inhabited by the Blessed Virgin Mary at the time of Annunciation. It was formerly believed that it was miraculously transported to Loreto by angels in 1294; now there is some evidence that it was transferred from Nazareth to Loreto by rich pilgrim surnamed de Angelis. The spiritual life of the Ghajnslemizi used to revolve around their small chapel.

By the middle of the 19th century, there were about 800 people living in Ghajnsielem. The inhabitants were finding it difficult to to go up to the Nadur parish church to hear mass and carry out their religious duties and satisfy their spiritual needs. And although they had their own chapel, they did not have the constant spiritual assistance a growing population would normally require.