There has ben a long sequence of chapels dedicated to St. Nicholas roughly where the present chapel now stands.The chapel was always a parish church in its own right, and even in the medieval period was administrated separately from the rest of the castle.
A chapel was first mentioned in Domesday Book in 1086, although no traces of that building survive. It was replaced by an early medieval chapel, the foundations of which can be seen at the base of the walls of the present chapel. The medieval chapel was rebuilt in 1738 and dismantled in 1856.
The present building dates to 1904, and was designed by Percy Stone to commemorate the 250th anniversary of Charles I's execution in 1649.