The church dates from the 14th century; the tower from the 15th century. It is located on a slight rise within the old town and is probably the site of a pre-Christian place of worship. All Saints is one of the largest parish churches in England, which is an indication of the importance of Loughborough in the mediaeval wool trade. Loughborough Grammar School was likely founded by a priest at the church c. 1496, paid for in the will of local wool merchant Thomas Burton and the school was housed within the church grounds until it moved away to its purpose-built campus in 1850. The hymn composer G. W. Briggs (himself an Old Loughburian) was rector of All Saints from 1918 to 1927.

Next door is the Old Rectory, originally a mediaeval manor house, the earliest record of which is 1228, later ruined and then partly restored and now contains a museum which is open on Saturdays in summer.