Our Lady of Consolation was founded in 1923. Its founding was the result of the growth of population in Nemacolin. The first Mass was held in the summer of that year in an old school building. For three years, Nemacolin was visited by priests from All Saints in Masontown and Our Lady of Perpetual Help in Leckrone (both parishes are now part of the Diocese of Greensburg). In the fall of 1926 Bishop Hugh Boyle appointed a pastor to Our Lady of Consolation.
The former school building that was serving as a church at that point was considered only a temporary expedient. On November 30, 1928, land was purchased for a new church. Construction was begun immediately and the first Mass was celebrated in the unfinished church building on Christmas Day of 1928. The cornerstone for the new church was laid on February 22, 1929, and the completed building was dedicated on May 30, 1929.
On December 30, 1961, fire struck the church. However, the fire was extinguished quickly enough to save the church. Despite the damage, Mass was celebrated in the church the next day.
Over the years, several changes were made to the building, most notably the addition of a steeple. However, this church still stands and continues to serve the Catholic community of Nemacolin.