Natchez was the birthplace of Methodism in Mississippi, owing to the work of Tobias Gibson, Lorenzo Dow and others who would come later, but the first church in Natchez did not organize until 1807. The first brick structure was constructed in 1807 and bore the name Cokesbury Chapel. In 1823 a new church was built which served the congregation through the Civil War. The first service in the present building was held in 1872 in the only part finished at the time - the basement. The rest was opened by 1876.
Source: Jenkins, William L. Mississippi United Methodist Churches: Two Hundred Years of Heritage and Hope. Franklin, Tennessee: Providence House. 1998. Copies of this title are available in the J. B. Cain Archives.