Leeds got its first post-Reformation Catholic worship space in 1786, the Lady Lane Chapel. In 1838 a more substantial St Anne's Church replaced it on the corner of the Headrow and Cookridge Street, only the third Catholic place of worship in the city after St Patrick's of 1831. When the Diocese of Leeds was created in 1878 St Anne's was granted cathedral status, and its altar reredos, designed by the towering Gothic Revival figure A.W.N. Pugin in 1842, became one of the most important pieces of mid-19th-century Catholic furnishing in Yorkshire. The building was demolished around 1900 to make way for the Headrow widening scheme. Some of its architectural fragments ended up at the Castle-by-the-Sea Hotel in Scarborough, the former house of the painter Atkinson Grimshaw, whose son Arthur was the cathedral's first choir master.

The replacement cathedral, finished in 1904, was designed by John Henry Eastwood, a Leeds-born and London-based architect with experience in church work. Much of the detail was carried out by his assistant Sydney Kyffin Greenslade. They worked in an unusual register: Arts and Crafts Gothic Revival, marrying the medievalising bones of the Gothic Revival with the handcraft sensibility of the William Morris generation. The cathedral is Grade II* listed, with the saved Pugin reredos rebuilt into the lady chapel and the rest of the interior worked through in a quieter, more domestic Gothic than a Victorian high-Gothic enthusiast would have produced fifty years earlier.

The cathedral is small because Cookridge Street did not give it much room. Eastwood worked the site hard. The western face carries a large ornate crucifix sculpture. The northern face turns sideways into a kind of mock-Georgian, with leaded bay windows looking out over the street. A small tower stands at the northwest corner, and the flag of Vatican City flies from it on feast days and on state visits. Inside, the layout is conventional cathedral plan: rows of pews facing east toward the altar, two rows of stone pillars marking the nave aisles, a barrel-vaulted ceiling with only a faint apex. There is no soaring height, no medieval ribbed vault. There is, instead, a sense of a working parish church scaled up just far enough to do diocesan work.

Music is central to the cathedral's daily life. The main organ was built in 1904 by Norman and Beard, the great Edwardian builders, and rebuilt and enlarged in 2010 by Klais Orgelbau of Bonn. It now has seven divisions and 55 ranks, big enough to support large choral performances. A second, smaller chamber organ sits between the choir stalls in the Sanctuary, built by Peter Collins in 1992. It is portable, modest, and used daily to accompany Gregorian chant. The cathedral and the Church of the Holy Rosary on Chapeltown Road together serve the parish of Our Lady of Unfailing Help, which means Sunday by Sunday this surprisingly compact cathedral functions as both a diocesan seat and a working city-centre parish.