St Catherine Parish started with the settlement of Frank Sauer Sr. and his family in Sarona. The Sauer children would walk the Narrow Gauge Railroad track to Shell Lake for religious instruction. When other families moved to the area, a neighboring priest would call to celebrate Mass, often in the Sauer home.

St. Catherine began as a mission of Holy Trinity Church in Haugen. It was constructed in 1917 on land donated by the Sauer family, and financed largely by a $5,000 donation from Catholic Extension Society. The original church accommodated about 40 people. A renovation in 1986 increased seating capacity to 99, added a basement, entry way and bathrooms. In 2002, a large donation of land increased the church parking lot's size.