The age of the village of Caspoggio leads us to believe that during the Middle Ages there already had to be a small religious building, a little chapel for the liturgical service in the village, since Caspoggio was a considerable distance from Chiesa with the only church in the valley, according to ancient sources, It has been said that there must have been a tiny chapel in the oldest inhabited part of Caspoggio standing behind the stone of the (V) alàas, of which no trace remains today. Until a few years ago, in fact, the part which was probably the apse of this building still existed, where the niche of the pitchers could still be seen, whereas the nave had already been knocked down in 1910 to turn it into a cattleshed and barn, both rebuilt in 1980.

Towards the end of the 15th century, a new church was built in Caspoggio, as in other communities in the valley, in exactly the same place as the one standing there today. Consecrated in 1490 and dedicated to the Saints Gerolamo and Rocco, it was the church with a curate in Caspoggio for over a century and a half.

Throughout the 16th century, no curate actually lived in the village as the community was too poor, and unable to pay for its own priest. When, in 1573, the other communities in the valley obtained permission from the archpriest of Sondrio to have their own permanent curate, Caspoggio had to be content to take its turn for the service offered by the curates of Chiesa and Lanzada.

The parish of Caspoggio was established on 23 October 1624. The first parish priest to be elected was Giovanni Antonio Carasotti of Lugano, who held the post until 1627. He was followed by Stefano Pini of Chiesa, originally from the Valsassina.

The geographical location of the village was far away from both Chiesa, the administrative and economic centre of the valley, and from the major roads of communication between the Grigioni family and Sondrio. This meant that Caspoggio was to remain completely detached from the diffusion of the Protestant reform. It was also saved from the numerous plague epidemics which spread throughout the 17th century, as the troups of mercenaries in the service of the Grigioni family continually marched by on the ‘Cavallera’ road of the Valmalenco. In 1630, the archpriest of Sondrio, Giovanni Antonio Paravicini, also found refuge at the home of the parish priest, Stefano Pini, in order to convalesce after having contracted the disease during his untiring work offering religious assistance to the plague victims.