The church is built in ironstone, which is heavily eroded. It stands within the grounds of Brocklesby Park which is the home of the Earls of Yarborough whose family name is Pelham. They are a branch of the famous family from Sussex, and their emblem is a buckle. All Saints' was built almost entirely in the 14th century in the decorated style. There is a chancel, aisleless nave, western tower and north and south porches. The tower is built partly within the nave. The lead broach spire was rebuilt in 1784, but there was one existing before that time and was possibly erected before the Reformation. The two porches date from the 18th century. The chancel is of two bays, marked by buttresses, and originally dates from the 14th century.

There are two major monuments to members of the Pelham family. On the south side to William Pelham who died 1629, with two reclining effigies below which are 14 children as well as three chrism babies. The other monument is to another William Pelham (died 1587) showing him and his wife kneeling opposite each other, with three boys and three girls, some bearing skulls. The monument is by William Wright. The organ, which is located at the west end of the nave was built in 1773 by Thomas Knight. It was originally located in Brocklesby Hall. The east window has stained-glass in the form of a Jesse tree. There are mediaeval fragments in the traceries of other windows