It is confirmed that there were Jesuits in Baena since 1704. When the first Jesuit missions took place, the city's canonry founded the Society of Jesus. In 1711, the priest Martín Álvarez de la Chica allocated his goods towards the construction of a school that would count on 5 chairs. The project was not carried out until 1740, when the Jesuits settled in some houses at the Mesones Street in Baena. They counted on a Chair of Moral Theology, another one of Grammar and a classroom for basic education. It stood out as a Latin school. In addition to its formative and cultural work, the Jesuits created their own departments as the popular missions, the spiritual exercises, the predication, the confession and the spiritual accompaniment. In 1767, due to the Decree of Expulsion, they stopped operating. By the way, they counted on a ludimagistri. The School's name is not clear yet because it appears as "Colegio de la Santísima Trinidad" and as "Colegio de Santiago".

En la actual calle Mesones de Baena, se localiza la conocida Casa de la Condesa, edificio del S.XVII donde cronistas e investigadores ubican a esta antiguo Colegio.