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Zuni Pueblo (also known as Halona, Shiwinna, Zuñi Pueblo, and Pueblo de Zuñi), which once included seven villages, was first mistakenly identified as the Las Siete Ciudades de Cíbola by the Franciscan friar Marcos de Niza and the slave Estevanico, reputed to be the first African to step foot on American soil. Spanish explorers Alvar Núñez Cabeza de Vaca and Francisco de Coronado later ventured to the area in pursuit of riches, but the villages failed to yield the gold they craved.

Spain formally established New Mexico as a province in 1598 with the settlement of San Gabriel del Yunque near the pueblo of San Juan. Twelve years later, the provincial capital of Santa Fe was established. Then, in 1629, with the arrival of several Franciscan priests, a concerted effort was made to spread the Christian faith throughout the pueblos.

By July of that year three priests, two at Hawikuh and one at Halona, began the task of constructing churches and rectories. The mission at Halona was dedicated to Nuestra Señora de la Candelaria (Our Lady of the Light). This mission, along with those at Acoma and Hopi, were destroyed during the Pueblo Revolt of 1680. The Zuni mission wasn't reactivated until 1699. At that point, it was rededicated to Nuestra Señora de Guadalupe (Our Lady of Guadalupe) but was occupied for only a few years. In 1706 its name changed to Mission La Limpia Concepción (Mission of Pure Conception), but in 1754 it was renamed Nuestra Señora de Guadalupe. By 1821 Mexico had won its independence from Spain, and many of the Franciscans returned to Europe. Only a handful of priests remained to serve New Mexico's pueblo missions. By the 1840s, when the region became part of the United States, missionary work had ceased, and the buildings were beginning to decay.

The Franciscans returned to Zuni in 1922 and constructed a new mission and a school, which they dedicated to St. Anthony.

A 1966 arrangement among the Pueblo of Zuni, the Catholic Church, and the U.S. Park Service allowed a team of archaeologists to begin excavating the old mission. After the data recovery was completed in 1968, restoration began. The mission was rededicated on May 29, 1972. A key component was missing, however. Zuni elders revealed that the old mission had once had murals on the interior walls. With some funding from the National Endowment for the Arts, well-known Zuni artist Alex Seowtewa and his sons Gerald and Kenneth painted a series of traditional Zuni ceremonial figures, or Kachinas, on the walls of the nave.