St Leonard's Church at Rockingham is a low irregular structure consisting of a nave and chancel, with a memorial chapel to the Watson family. It stands on the hill between the Castle and the Village.

While there was almost certainly a chapel situated within the Castle walls in 1095, at the time of the Council of Rockingham, when William Rufus summoned a council of nobles, bishops and clergy to settle a dispute between himself and Anselm, Archbishop of Canterbury, little or nothing is positively known of the Church until the institution of Waleranus Teutonicus in 1217, over one hundred years after the building of the Castle.  This chapel was derelict by 1249 -

"...towers etc fallen to the ground and the chapel left destitute of vestments, books and the necessary articles for the celebration of the Mass".

It is generally accepted that the church was founded in the 13th century. Rockingham was a Saxon stronghold. If there was an earlier, Saxon, foundation, there is no evidence of it today. Very little trace remains of this medieval church. On a windowsill is all there is, a female figure and a corbel with carved face which was recently rediscovered in the churchyard. This medieval church, according to a survey in the 17th century, consisted of a nave, chancel and two aisles and suffered greatly at the time of the Civil War, when Cromwell's soldiers occupied Rockingham Castle. It was demolished for military reasons and replaced by a small Chapel about 1650.

The post-Civil War church consisted of a wide nave, a north chapel for the Watson monuments and a chancel, off axis with the nave. It is described in Bridges' Northamptonshire in 1720 as follows:

"The Church, dedicated to St Leonard, a low irregular fabric, consists of the body and chancel, on the south side, extending further than the body of the Church, both covered with lead. The Church is forty-six feet long, and twenty-four feet broad. The Chancel, in length twenty-nine feet six inches and in breadth eighteen feet. The north Chancel, twenty-seven feet and a half in length, and twelve feet six inches broad. In this are two pieces of timber laid across the beams, on which hangs a small bell".

The Church remained in this state until a wooden tower was built on the north side, in 1776, at the expense of Lady Sondes of Rockingham Castle. This wooden tower was taken down in 1838 at the cost of £2.2s to be replaced by Richard Watson in 1845, by a small bell-tower, with octagonal pyramid roof, the design being taken from one existing in a Church in Oxfordshire.

At the same time the windows in the nave were replaced by four in Gothic decorated style, and an east window of three lights, in the same style was placed in the Chancel, and open seats replaced the old square ones.

Twenty years later the Watson family, the Rector and Parishioners placed a new roof upon the nave and enlarged the Church by the addition of the north aisle. In 1868, the Church was beautified by raising the roof of the Chancel and adding two arches (the mouldings of the capitals and piers being copies from fragments of the former Church), thus opening the north aisle.

At this time Mr George Watson erected a Mortuary Chapel on the south side of the Chancel, and removed to it many of the family monuments, formerly in the Chancel and the north Chapel. In 1902, there were further restorations following a fire in the Church.

In recent years thousands of pounds have been spent on major repairs and restoration, the roof having been infested with dry rot. Most of the work has now been completed, but work is continuing to the external stonework, leadwork, plasterwork around the font and the Collyweston slate roofs.

The Patronage was held by the Crown until purchased by Edward Watson; his first appointment was that of William Bullin in 1558. The Patronage remains with the family, and until 2019 the parish was joined with St Mary Magdalene, Cottingham, St Peter, East Carlton and St James the Great, Gretton, the appointment of Rector being taken in turns with the Bishop of Peterborough and the other patrons. From 2020 it is planned that the parish will be joined with St Columba and the Northern Saints, Corby. 

St Leonard is the patron saint of prisoners and is usually depicted carrying a chain. Despite his great popularity in the Middle Ages, nothing was heard of him before the 11th century. He was a Frankish nobleman of the court of King Clovis, and lived in a cell at Noblac, near Limoges, later founding a monastery. His cult spread in the 12th century to England, Italy and Germany and many churches were dedicated to him. His feast day is 6 November. In this Church he is represented in the west window of the north aisle and is also the figure on the north side of the Altar Reredos.