The church's origins date to 1669, when foundations were laid to a design by the city architect Jean de la Vallée for the Admiralty congregation on what is now Blasieholmen. Funds ran short and building stalled, so a temporary wooden church was put up on Storgatan to serve the parish in the meantime. Work resumed in 1725 under the architect Göran Josuae Adelcrantz, and the church was finally consecrated in August 1737.
The building visibly reflects these two building campaigns. Its dome, quite different in style and scale from the structure beneath it, was added in the 1860s to a design by Fredrik Wilhelm Scholander, with later revisions by Bror Carl Malmberg. Two mausoleum chapels flanking the west front are what remains of a pair of towers begun in 1755 but never completed; they were instead fitted out as burial chapels in 1792.
Inside, the so-called "golden altar" is a wooden altarpiece given by the ironworks owner Johan Clason and made by the palace master builder Georg Fröman, unveiled in 1747. Above it hangs the painting of Christ on the cross by Georg Engelhard Schröder, completed in 1738; a nineteenth-century proposal to replace it with a new resurrection scene by Johan Joseph Malmberg was debated at the time, and sources differ on how that disagreement was ultimately resolved. The imposing classical pulpit, designed by the court architect Jean Eric Rehn, was consecrated on Christmas Day 1784.```` 1784.
Other furnishings include a font of red Öland limestone bearing a seventeenth-century inscription, a baptismal bowl from 1685, and a Baroque communion chalice made in Augsburg in 1650. The church's large organ, rebuilt several times since the eighteenth century, was substantially renewed in the 1970s by Grönlunds orgelbyggeri behind a case designed by Carl Fredrik Adelcrantz in 1762; it has since been further modified. The church also holds one of Sweden's heaviest bells, cast in Helsingør in 1639 and brought to Stockholm as war booty in 1658.
As with several Stockholm churches, Hedvig Eleonora has long attracted ghost stories among parishioners and visitors, including tales of a headless child led through the church by a spectral "white lady", and of a physician's grave slab said to host gatherings of the parish's departed doctors and patients. Such folklore forms part of the church's local lore rather than verified history.