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Mensajero's history can be traced to 1922 when a group of friends in Santa Cruz de la Palma formed a youth team. It was not until 1939 that a senior club was established but, with a formation date in 1922, after an excision of players from Tenisca. The first president was Silvestre Carrillo, with two team stadia eventually being dedicated to him.

The club spent roughly 70 years playing at regional level, with various degrees of success. It won the fourth division title for the Canary Islands in 1985, arriving at the national stage seven years later, after winning promotion to the third level.

During the following ten seasons, Mensajero appeared twice in the playoffs: in the 1994–95 campaign, after 22 wins in the regular season, the promotion group consisted of Córdoba CF, CD Castellón and Sestao Sport Club; after a 6–1 home win against the second team, it entered the last round with chances of being promoted, but lost 1–3 at the Andalusians.

In 1999–2000, Mensajero finished fourth after winning 19 out of 38 in the first stage, the highlights being home wins against Caudal Deportivo (7–0, home) and Sporting de Gijón B (5–1, away). In the playoffs, it could only collect one point in six matches, against Burgos CF, Granada CF and Real Murcia.

The expense of running a relatively small club at a national level began to take its toll and with dramatic cuts in funding, Mensajero was relegated at the end of the 2001–02 season, 11 points behind the penultimate team, CD Onda, and 18 points from the safety zone. Two years later, they dropped down to the regional leagues, vacated Silvestre Carrillo grounds and set up home at the Municipal Estadio Bajamar, sharing it with neighbouring SD Tenisca.

After its grounds' improvements were finished, Mensajero returned home for the end of the 2006–07 season, before gaining promotion back to level four in June 2008 and later back to level three in June 2015. In the 2015-16 season the club managed to retain its place in Tercera División, finished 13th, 4 points away from relegation zone.