Besides the national sanctuary of Our Lady of Mellieħa, a few metres away is the so-called Grotto of Our Lady. Located below street level, passing through an arched doorway, one goes down a flight of steps to reach the grotto. A frequent visitor to the sanctuary of our lady of Mellieħa was a Sicilian wine merchant, Mario de Vasi. It was through his generosity that he suggested the creation of a flight of steps down into a natural cave, which also provided fresh water from a natural spring. The natural cave was then enlarged to cater for the many devotees that used to visit the cave. In the centre of this man-made cave, a statue of Our Lady holding the Infant Jesus was placed.

The grotto soon attracted devotees, and several votive offerings were placed on the walls of the grotto. Due to its devotion, there are a number of legends connected with the holy image of Our Lady, in which devotees recorded under oath that they had seen the arms of the figure of Our Lady moving as a sign of blessing. Our Lady of the Grotto still attracts people throughout the year, asking for her intercession.