It was originally built in 1841 according to drawings by superstructure director C.F. Hansen, and was later remodelled and expanded in 1909-10 by Ulrik Plesner and Thorvald Bindesbøll, which included the tower and the distinctive Baroque-inspired spire. Only the pulpit was retained from the original interior, and the rest of the interior decoration is a product of Bindesbøll's creativity. As a curiosity, it can be said that the church's candlesticks originate from the Church of the Blessed Sacrament (St Laurentii Church).

Right from the start, it became clear that the church was far too small for the city's very religious population, so many had to stand outside the church to hear the services. With the expansion in 1910, the church became both longer and taller, plus it got a much sought-after tower.

Bindesbøll was very concerned with symmetry, which is why the church is completely identical on the right and left sides (except for the door to the sacristy, of which there is only one). This means that the pulpit and baptismal font are in the centre of the altar. And when you open the doors, you can see the flagpole outside on the same line.

A very special feature of Skagen Church is the altar cloth. It was designed by Bindesbøl, who had his sister cross-stitch it, after which it was embroidered by local women in Skagen. However, after 50 years of use, the altar cloth had become so worn that a new one was sewn, also by the ladies of Skagen, including Queen Alexandrine, who spent summers in Skagen. The current altar cloth was completed in 2013.

On the outer wall of the church - by the church tower is a bronze relief - a memorial plaque for the rescuers who died in the sinking of the brig Daphne of Gothenburg in 1862. The relief was created by sculptor Andreas Paulsen.