St Denys has a nave without aisles but with a clerestorey on the S side. It retains its wooden W gallery, now housing the organ. It has a W tower, a chancel with a 19thc. E window in a 14thc. style and porches covering the N and S nave doorways. The N porch was converted into a vestry in 1881, and the N doorway retains some of its 12thc. sculpture. The S porch is dated 1696. A stained glass window installed by the vicar Gregory Bateman in 1882 in memory of his wife shows the interior and exterior of the church.

Cold Ashby was one of twenty four villages bestowed on the Abbey of Coventry by Earl Leofric, the founder, in the reign of Edward the Confessor (1042-1066). Coventry's holding of two hides and a half is recorded in the Domesday Survey, along with half a hide held by William from the Count of Mortain, a virgate and a half held by Drogo from William Peverel, and two and a half virgates belonging to Geoffrey de la Guerche's manor of Welford, held from him by Alvred. The situation was complicated further by the fact that the soke was held by the manor of Winwick. The church of Cold Ashby along with that at West Haddon, was given to Daventry Priory by Hugh Poer, the Abbot of Coventry's consent to the grant dating from 1150. The abbot's consent protected the rights of Winwick church over both of these churches. Winwick's rights as a mother church to Cold Ashby were still in force in 1367, when there was a dispute over the amount of pension owed to the rector of Winwick by the vicar of Cold Ashby.

Benefice of Guilsborough with Hollowell and Cold Ashby.

There is some similarity between the chip-carving of the lintel and that of the reset relief at Weekley.