Colva is famous for the white washed Our Lady of Mercy church also known as Igreja de Nossa Senhora de Piedade that was founded in 1630 and later rebuilt on the village square in the eighteenth century. It houses the miraculous statue of 'Menino Jesus' (Baby Jesus) which is believed to have healing powers that was founded by a Jesuit missionary.

According to local legend the statue in Our Lady of Mercy church was found in the mid-seventeenth century in the coast of Mozambique, when Rev Father Bento Ferreira and his party had been shipwrecked off the coast. After swimming to safety they spotted it as it was washed ashore after being dumped by Muslim pirates into the sea. In 1648 when Father Ferreira was posted to Colva he placed the statue on the altar and it soon started drawing large crowds of devotees as it granted their favours.

The Menino Jesus statue is put for public viewing in October for the annual Fama ('Fame') festival for which thousands of people assemble. This is the only time that it is removed from the triple vault locks of the Church. It is then dipped into a nearby river after a procession and the pilgrims take this water for good luck.