The village takes its name from the family of Kelloe or Kellaw: Richard Kellaw was Bishop of Durham in 1311. The Lordship of the Manor of Kelloe was bought by the Tempests of Broughton Hall, North Yorkshire, and bequeathed by Sir Henry Vane-Tempest to his daughter, Lady Frances Vane, who married the third Marquess of Londonderry. The current holder of the Lordship of Kelloe is Mr Barrington Edward Kerr Gilmour of Northumberland. The village expanded with the mining industry: the population increased from 663 to more than 11,000 by 1848. Nearby is East Hetton or Kelloe colliery where six men were killed by gasses from the Trimdon Grange colliery disaster in 1882.
The parish church is in Church Kelloe, a "considerable distance" from the town of Kelloe itself. The church itself is of uncertain date. Ryder gives Saxon or Early Norman from architectural evidence. The earlier date is suggested by the herringbone and the archaic treatment of the north-west quoin indicate an early date, the herringbone work being similar to that at Seaham which is a pre-Viking Saxon building. However, if the south doorway is original, then the building is post-1100. The church remained a small country church for most of its existence until the development of the surrounding villages with the sinking of the collieries from 1836 onwards. Mining remained a key industry in the area until its closure in 1983.
Ryder claims the St Helena cross as "one of the most important items of Romanesque sculpture in the country". The 12th-century cross was found broken into several pieces being used as walling stone in the south wall of the chancel. During the 1854 rebuilding it was found and reassembled. It was conserved and cleaned in the early 1990s and is currently set against the north wall of the sanctuary. The cross shows scenes from the legend of the Invention of the True Cross including saints Helena and Constantine, whence its name. The right and back are plain. Three further scenes from the legend are missing, which has led to a suggestion that it is one of a pair, possibly associated with a reliquary. J T Lang in a personal communication to Ryder suggests that reliquary might have held a portion of the True Cross and that it may have been held at Durham Cathedral. The crosses and reliquary may have been moves to Kelloe in the 16th Century and is possible that the second cross is still somewhere within the fabric of the church.
