This small chapel was built at the behest of the Capuchin monk, Pablo of Cadiz in around 1701, as the seat of the spiritual company of Our Lady of the Path (Caminito), which explains its nickname of Chapel of the Small Path. In the mid 18th century, this changed and the chapel was dedicated to Our Lady of Anguish (Las Angustias).
The façade, finished with a bulrush, has a entrance made out of white marble, in whose opening there is the eighteenth sculpture, also in marble, of the Virgin Mary with the dead Christ lying in her arms.