St. Michael and All Angels began as a mission founded by All Saints Anglican Church. A mission church was built in 1904 on Mulvey Avenue. The first service was held on 13 November 1904. In 1920 work began on the present church at the northwest corner of Hugo Street and Mulvey Avenue. The foundation stone was laid on 17 June 1920. The old mission church was moved to the new site and used as a parish hall. The interior of the new church remained largely unfinished until Father Turney came to St. Michael and All Angels in 1930. Under his leadership the church was completed and a rectory was built as well. The church contains many artefacts from England, including stained glass from Anglican churches bombed during the World Wars and an altar stone from the sanctuary of Pershore Abbey, a Benedictine monastery.
The church was consecrated on 13 October 1947. Fire damaged the roof in 1959. Another fire in 1970 gutted the music room and destroyed the organ. Following the fire in 1970, the congregation worshipped in the parish hall until reconstruction was complete. The church reopened 29 September 1971. 
The church was designated a historic building by the city of Winnipeg in 1989. St Michael and All Angels has the distinction of being the only Romanesque Anglican church in the city. Also, St Michael and All Angels is the only complete Anglo-Catholic parish in the diocese and the second oldest Anglo-Catholic parish west of Toronto.