Construction is thought to have begun around 1053–1066, with the choir and west end completed a little later, around 1075–1081. The church was built for Egino, a bishop from Germany, at a time when Lund also had its own bishop, Henrik. Sources differ on how long Dalby retained its status as a bishop's seat: some say it ended when Egino moved to Lund after Henrik's death in 1066/67, while more recent research suggests the bishopric may have remained at Dalby until around 1089, under Egino's successor Ricwald. After losing its role as a cathedral, Dalby became the church of an Augustinian monastery that grew into the wealthiest in medieval Denmark, with more than 450 farms under its control.
The building has been altered substantially over the centuries and was originally roughly twice its present size. Its early history includes a Romanesque porch with a well and two side towers built in the early-to-mid 1100s, a larger choir with an apse added in the 1200s, and a central tower erected when the timber roof was replaced with Gothic brick vaulting. Fire, structural collapse and later demolition (including removal of the apse in 1686, whose stone was reused to build Caroli church in Malmö) progressively reduced the church, and a partial collapse in 1755 led to a rebuilding in 1758 that gave the church much of its present, shortened form. A restoration in 1936 uncovered the original 1000s masonry in the nave, which is still visible today.
Several features recall the church's earliest phase. A stone column in the south nave has its only known parallel in Hildesheim Cathedral in Germany, and it is thought a matching column once stood opposite it; some researchers have linked these to imagery from the Temple of Jerusalem. A shallow well in the porch and a lost bronze chandelier, recorded around 1536 and shaped like a walled city with towers, have been connected to similar symbolic ideas, though these interpretations remain speculative.
Among the furnishings, the sandstone font from the mid-1100s is carved with reliefs including the baptism of Christ and a Latin inscription; its maker is uncertain. The pulpit dates from 1705 and the altarpiece from 1758. Two bells hang in the tower: an unusually well-preserved medieval bell cast in the first half of the 1300s, and a younger one added in 1934. A carved oak figure of St Olof, probably German work from the early 1500s, stands in the nave. A worn gravestone known as Harald Hen's stone, marking where the medieval apse once stood, is popularly associated with the Danish king who died in 1080, though it is unlikely anyone is actually buried beneath it, and some accounts place his grave elsewhere in the church or even in Zealand.
The church's early treasures included the richly decorated Dalbybok, an eleventh-century illuminated gospel book, now kept in the Royal Library in Copenhagen rather than in the church itself.
The church underwent a further renovation in 2023, involving cleaning of the choir, walls, ceiling paintings and fittings, with a rededication held that September.