The Royal Military Asylum's Chapel was erected in the period 1823-1824 and was consecrated by the then Bishop of London in December 1824. The school had, until the chapel's construction, used a large room (School Room 4) in the southern wing of the main building for religious services. The Chelsea chapel still stands today and is located at the corner of the King's Road and Cheltenham Terrace. The building is now a commercial property and part of the Duke of York Square retail plaza. Since September 2021, it has been occupied by Soho Home Studio, a furniture and homewares store and café.

In 1984 it was listed as a Grade II building. It was described as having two storeys, constructed of yellow brick with stone cornices and a stone block course. Its ground-floor windows are in arched recesses. In terms of entrances to the building, it has a Doric colonnade on the northeast front with small side entrances (currently the shop's customer entrance) and a Greek Doric porch on the southwest front, with coupled columns. It has an approximate footprint of approximately 375 square metres – for comparison the current school chapel has a footprint of roughly 530 square metres. Internally the chapel was simple in its arrangement with an altar at the northeastern end of a nave. There were seating balconies at either side of the nave. The chapel's main congregation entrance was probably through the southwestern portico.

The religious census of 24 October 1886 has the officiating chaplain at the Royal Military Asylum listed as the Reverend E H Godwin. Godwin would receive a Mention in Despatches for his service during the Second Anglo-Boer War. He managed the Army Chaplains' Department in South Africa whose members distinguished themselves during the siege of Ladysmith and elsewhere in the military hospitals during the campaign.

The original chapel in Chelsea was renovated and restored in 1890. In 1899 the chapel received a set of three stained-glass windows now at the school's current chapel - the Royal Military Chapel of Saint Michael and Saint George. They were dedicated to former pupils who fell in the service of their country and were unveiled on Waterloo Day (18 June) of 1899 in the presence of the Duke of Cambridge.

The last service held at the school's Chelsea chapel was on 11 July 1909. It was attended by HRH Princess Louise and many dignitaries (military and civilian), as well as pupils and old boys of the school. Princess Louise attendance was interesting as she was a far from conventional royal, being an accomplished artist and supporter of the nascent British feminist movement. Her exact relationship with the school is not clear as most of the school's royal patronage was associated with male royalty.