The first WM society was not formed until 1779, perhaps because of the evangelical ministry of Dr. Thomas Ford. The first chapel, in Sage Cross Street, was opened in 1796, built and owned by Robert Pearson, a High Street chemist. He conveyed it to trustees in 1808, when the town became the head of a Home Mission station linked with the Leicester Circuit. It became a separate circuit the following year. After enlargement in 1826, the chapel was re-opened by Jabez Bunting, with Richard Watson as the preacher on the first Sunday. Among the class leaders was Edward Adcock, originator of the Melton Mowbray pork pie in 1831 at his bakery next door to the Fox Inn in Back Street (now Leicester Street).
A new chapel was opened by Charles Garrett in 1871, with alterations soon afterwards in 1876, and the premises were enlarged to mark the centenary in 1897.