Immaculate Conception Parish, located in Harbour Grace on the western side of Conception Bay, was established in 1830. The first priest known to have been appointed to the mission of Harbour Grace was Reverend Patrick Phelan. While the exact year of his arrival is not known, he was in the community in 1794. In 1806, Reverend Thomas Ewer took charge of the mission and built the first chapel in Harbour Grace in 1809. Ewer also built chapels in Brigus, Port de Grave, Harbour Main, Carbonear, Northern Bay and Bay de Verde. Reverend Charles Dalton, a missionary from Ireland, began his tenure when Reverend Ewer died in 1833. The original wooden chapel was torn down, and in 1844 excavation was underway for the construction of a new Roman Catholic Cathedral. The Diocese of Harbour Grace was formed in 1856, with the nephew of Reverend Charles Dalton, Reverend John Dalton, becoming the first Bishop. The Cathedral Of The Immaculate Conception was dedicated in 1868 and was in use only a few years before being destroyed by fire in 1889. A new cathedral was started immediately and was consecrated in 1899.

In 1851, Reverend John Dalton brought the Presentation Sisters to Harbour Grace, the first foundation after the Mother House in St. John's. They remained until 1973. In 1869 Reverend John March became the first native of the diocese to be named Bishop. During his Episcopate, the Knights of Columbus were introduced into Newfoundland. The first council, known as the Dalton Council, was founded at Harbour Grace in 1909.

Currently the parish serves the people of Harbour Grace, Spaniard's Bay, Riverhead and Island Cove. In 1956 the Bishop's Seat was moved from Harbour Grace to Grand Falls.

Pastors that have served Immaculate Conception Parish since its established include: Thomas Ewer (1806-1833); Charles Dalton (1833-1859); John J. Walsh (1859-1872); Francis E. Walsh (1872-1881); Stephen O'Flynn (1877); Donald McInns (1882); John Roe (1883-1891); John March (1889-1906); William Finn (1906-1912); James J. Walker (1912-1918); Michael F. Dinn (1918-1926); Jeremiah Howard (1926-1934); Francis P. Meaney (1934-1940); Francis R. Terry (1940-1944); Edward J. Shea (1944-1953); William P. Hogan (1949-1957); Joseph O'Brien (1957-1984); Kevin J. Barker (1984-1987); Michael J. Walsh (1987-1990); James A. Beresford (1990-1996); Ramon Bolatets (1996- )