Covington Baptist Church was founded as First Baptist Church on May 29, 1841, with 14 members. In its early years, the church met at the Alleghany County Courthouse.
In 1875, the Rev. J.M. Pilcher led the congregation to construct its first house of worship. At the time of construction, church membership had grown to 30. The original church, located at the site of the current facility on Riverside Street, was a small-frame building.
The building that houses the current sanctuary was constructed in 1902. It features architectural influences from Gothic and Romanesque styles, according to the Virginia Department of Historic Resources. An education wing was added to the sanctuary in 1919. Another education building was constructed in 1964. In the early 1990s. the church carried out $800,000 in renovations to its sanctuary under the leadership of the Rev. Dr. Richard Childress.
The church has long-standing affiliations with the Southern Baptist Convention and the Baptist General Association of Virginia. The BGAV, founded in 1823, serves an umbrella organization for more than 1,400 churches. At its founding, the Baptist Association's mission was to "propagate the Gospel and advance the Redeemer's Kingdom throughout the state."
Covington Baptist Church underwent a transitional period from 2014 to 2016 under the leadership of the Rev. Dr. Ted Fuson of Culpeper. As an intentional interim pastor, Dr. Fuson led the church to recast its vision and adopt a new mission statement.
One of the church's pastors, the Rev. S.F. Chapman, was the subject of a book published in 2001. Written by Peter Brown, "Mosby's Fighting Parson: The Life and Times of Sam Chapman," chronicles Chapman's exploits as a Confederate soldier during the Civil War. Chapman was called to be Covington Baptist's pastor in 1882 — 17 years after the Civil War ended.