Though the second largest parish among the Oglala Lakota, Our Lady of Sorrows, too, had humble beginnings. Known in the 1900s as St. Stephen's, services were originally held in a meetinghouse along the Medicine Root Creek. The first Our Lady of Sorrows church, a log building, was completed by Fr. Henry Grotegeers, SJ in 1910. Within two years, construction of a frame church was made possible by a one thousand dollar donation. In 1935, Fr. Plasidus Sialm, SJ, constructed the present day Our Lady of Sorrows church with eight thousand dollars.

Early Catechists were Moses Broken Leg and George Apple.