In 1862 it was decided that the congregation had outgrown the Parish Church of St John the Baptist on Windsor's High Street. Plans were drawn up by eminent architect Sir Arthur Blomfield for a church on Frances Road and the design was approved by Queen Victoria, who gave £300 to the building project. Other donations were made by the Dean and Canons of St George's Chapel, Eton College and local townspeople - even some of the poorest.
The foundation stone was laid on 21st November 1863 by Queen Victoria’s eldest daughter, Victoria, Crown Princess of Prussia. The building work was completed in 1864 and the church was consecrated on 3rd December that year.
Throughout the church, stained glass windows and other furniture and ornaments are dedicated to former congregants. The wooden screen at the top of the chancel steps was dedicated in 1920 in thankful memory of those who gave their lives in the Great War. The altar in the Lady Chapel in the south aisle was installed in memory of former parish priest Rev. Harry Stanbrook. The beautiful painting hanging above this altar is believed to be the work of Raphael. The window in the north west corner of the church was commissioned in 1993 and is dedicated to all those who have given their time and talents in the service of God at All Saints' Church. It is inscribed "So many are the saints of God, like stars set in the sky."