Located just outside the walls of the castle of Corciano at the intersection of two streets, it was originally a small votive shrine containing the image of the Madonna enthroned with the marching Child, a fourteenth-century fresco with French-inspired iconography, now located in the apse.
There are several hypotheses about the name Serraglio: in the past it could have been a place of punishment, a sort of cage or prison in which turbolent or unwanted people were ridiculed; it could also be an old tavern where travelers and pilgrims found refuge or, even more simply, a place where a shelter for animals was located.

The current church was built following a miraculous event: it is said that one day the horse of a local gentleman suddenly and inexplicably raged, running wildly tossing the gig to the right and left, and then stopped passing right in front of the votive shrine.