For almost 30 years, as the rector of St Etheldreda's Church, Ely Place, Cunningham was one of London’s best-known Roman Catholic parish priests.
Marsworth is first mentioned in the will of Aelfgyfu (before 975) as granted to Edgar of England who in turn passed it to St Etheldreda's Church belonging to the Bishops of Ely.
The Catholic chapel at the United States Military Academy, West Point, is modelled on St Etheldreda's.
By 1284 the number of canons had declined to seven, and these were evicted in 1285 when the widow Maud de Lacy, Countess of Gloucester(d.1289), formerly the wife of Richard de Clare, 6th Earl of Gloucester(d.1262), refounded the establishment as a nunnery as the Abbey Church of the Blessed Virgin Mary, Saint John the Evangelist and Saint Etheldreda.
Ely Place, off Hatton Garden, is home to St Etheldreda's Church – one of the oldest Roman Catholic church in England and one of only two remaining buildings in London dating from the reign of Edward I.