The monastery was named after the Don Icon of the Mother of God, which, according to legend, helped repel the enemy attack and forever expel the Crimean Tatars from Moscow. On the site where the small marching church stood, a monastery was built.

The first to build was the cathedral, called Maly. The temple was not designed in the traditional style for monastery cathedrals, but later it was in its likeness that other church buildings in Moscow were erected, for example, the Kazan Cathedral on Red Square.

During the Time of Troubles, the church was looted, but during the reign of Mikhail Fedorovich it began to be restored, and later the monastery received new extensions and partially changed its appearance. The architectural ensemble was finally formed in the 18th century, and by the beginning of the next century, the Donskoy Monastery was considered one of the most privileged in Russia. In 1834, a theological school was opened here, and in 1909, a school for training novices was opened here.

After the revolution, the Donskoy Monastery was officially closed, but in fact it remained active. In the Soviet era, the monastery was transformed into museums, but it was not completely closed: in the middle of the last century, services were held here, despite Khrushchev's struggle with religion.

Life in the monastery was revived in the 1990s, after the churches were handed over to the Russian Orthodox Church. In 2014, the restoration of the Small Cathedral began: historical structures and architectural details were restored in two years.

Famous personalities rest in the Don necropolis: poet Alexander Sumarokov, philosopher and publicist Pyotr Chaadaev, writers Vladimir Odoevsky, Ivan Shmelev, General Anton Denikin, writer and public figure Alexander Solzhenitsyn and others.