This convent was founded by the first student of that house, the famous Countess Beatriz Ramírez Mendoza. With the permission of Philip III, on September 20, 1605, the Cardinal of Toledo gave the Countess Beatriz Ramírez Mendoza license for the creation of a new convent, composed of several nuns from the convent of La Concepción Jerónima, and they begin to work with the habit and rule of St. Augustine.
According to tradition, children were playing in the street which today leads to Plaza del Conde de Miranda (Austrias), dragging a painted canvas that one of them had taken from his father's dark coal cellar. Apparently, they had not noticed the paint which covered one side of sturdy canvas. But it so happened that they passed through a Franciscan religious man, named José Canalejas, of the monastery of San Gil, who noticed the picture on it and discovered the face of the Virgin Mary. He learned the origin of the canvas and picked it up to promote his vision to the people who passed by. The canvas was taken in procession to the nearest convent, which was that of Corpus Christi. This event is recorded around June 11, 1667. This Virgin was from the beginning known as La Carbonera, the nuns and convent were Carboneras, after the coal.