Located on the north side of the cloister, it was commanded by Archbishop D. Diogo de Sousa, for his deposit, having dedicated it to "Jesus of Mercy." This chapel houses the Archbishop Tombs, D. Diogo de Sousa and Frei Caetano Brandão.

In the altar gold carving altarial is the image of Our Lady of Piedade, which was placed on a later date for its construction.