The land for Mount Cristo Rey was purchased by the El Paso Diocese in the 1930s when that part of Southern New Mexico was in the El Paso Diocese. The Monument to Jesus Christ, known as Cristo Rey, was commissioned by the Church, built by Spanish sculptor Urbici Soler, and completed in 1940.

Mount Cristo Rey is a Catholic Shrine, and became part of the newly-created Catholic Diocese of Las Cruces in 1982. Annual pilgrimages have been held at the mountain since the 1930s. Las Cruces Bishop Ricardo Ramirez conducted a Mass atop Cristo Rey on October 29, 2006. The Summer 2006 heavy floods closed the mountain, but the Mount Cristo Rey Restoration Committee went to work and patched the trails so the annual pilgrimage could occur. However, funds are needed to pave the dirt trails with asphalt so future heavy rains will not jeopardize access to Mount Cristo Rey.

The TV documentary explains the mountain's human and geological history, which now dates to 100 milion years ago with the discovery of hundreds of dinosaur tracks at the base of Cristo Rey.