Gonzalo Fernández de Córdoba, the first Marquis of Priego, had this convent built by architect Hernán Ruiz the Elder. Completed in 1524, it was enlarged several times before reaching its present size in the 18C. The façade of the church has a fine portal built in Flamboyant Gothic style. Inside, admire the artesonado ceiling above the nave and the large altarpiece. Near the convent is the palace that was built by the Marquises of Priego, who went on to become the Dukes of Medinaceli.