Cape Espichel stands out on even the Costa Azul for the beauty of its natural surroundings. Its original function was defence but in times of greater peace and security a sanctuary dedicated to Our Lady of the Cape was built. The church is flanked by a series of royal dependencies that provided and cared for the pilgrims that would head there. Built in 1701, the building is in baroque style and attributed to architect João Antunes.
On the interior, there are pieces of important artistic value including the retable of the main altar in Portuguese baroque containing a statue of Our Lady of the Cape the ceiling, painted in perspective (carried out in 1740 by the painter Lourenço da Cunha) and the 16th century work by the Master of Lourinhã in the sacristy depicting the Saints James and Anthony. Of further note is the throne on the main altar destined for royal visits.
A few meters from Sanctuary, there is the small, 15th century Ermida da Memória (Chapel of Memory), predating the Sanctuary itself. Its interior is covered in 18th century tile panels that depict the legend of the Lady of the Cape. According to tradition, the Virgin appeared to an elderly couple in 1410.