Heep Yunn School is located at No. 1 Farm Road, Ho Man Tin. Its main building was completed in 1937. The history of the school can be traced to two Anglican schools founded by the Church Missionary Society, namely Fairlea Girls' School founded in 1886 and Victoria Home and Orphanage established in 1887. Fairlea Girls' School was a Chinese school for Chinese Christian girls. It shared the school building on Lyttelton Road with St. Stephen's Girls' College from 1924. In 1936, Fairlea Girls' School merged with Victoria Home and Orphanage, and the new school was named “Heep Yunn”, meaning “United in Grace”. The foundation stone for the Farm Road campus was laid by then Hong Kong Governor Sir Andrew Caldecott. In 1937, Bishop Mok Sau-tseng of the Diocese of Hong Kong and Macao of Chung Hua Sheng Kung Hui, the first Chinese bishop in Hong Kong, officiated at the school’s inauguration ceremony.

During the Japanese occupation, the Japanese Army, Navy and Air Force occupied the school successively, and the classrooms were converted into stables. After the war, the school building was temporarily used as a detention facility for Japanese troops and barracks for Indian soldiers. As Rev. George She, the sixth principal of Diocesan Boys' School, recalled, on the day of Hong Kong’s liberation in 1945, the principal of Heep Yunn School, Cheung Chinn Yee-ching, had returned to the school to check the damages and made arrangements for restoration. In February 1946, Heep Yunn School was among the first church schools in Hong Kong to resume classes after the war.

Elegant and virtuous, the teachers and students of Heep Yunn School supported compatriots in the mainland in various ways after the Marco Polo Bridge Incident of 7 July 1937. From September 1937, they took in students who fled to Hong Kong from Guangzhou and other places, which accounted for one-third of the total number of students; after the war, the school specifically petitioned to the Overseas Community Affairs Council in a bid to help the students further their studies in the mainland. The current students responded to the appeal of the Hong Kong Committee for Student Relief and took part in a campaign where students cut their spending for three days to raise funds for wounded Chinese soldiers and refugees. On the first day of the campaign, more than $50 was raised, topping all the schools in Hong Kong. Since the contribution of Heep Yunn School during the war was indeed remarkable—many newspapers praised the school as "particularly enthusiastic about charitable causes".

The school is not open to the general public.