Until the building of this church, the people of Cowgrove and Pamphill had to go to Wimborne Minster for services. Initially the new church was within the parish of Wimborne Minster and not a parish in its own right, but in 1922, as a result of Mrs Bankes' efforts and her endowment of £6,000, the benefice of St Stephen's was finally established with its own vicar. The grass enclosure in which the church rests remains unconsecrated and consequently has never been used for burial. The stone cross in front of the church is a memorial to Walter Bankes, Mrs Bankes' husband and benefactor.