Lea Bridge reputedly lies along the route of an ancient track used by pilgrims travelling from London to the shrine at Walsingham.
Walsingham has been venerated as one of the holiest places in England. By the late Middle Ages, it was held to be the duty of every Englishman that at some time during his life he should visit Our Lady at Walsingham.
In 1061, in the reign of Edward the Confessor, the widow of the lord of the manor of Walsingham Parva, called Richeldis, had a vision of the Virgin Mary. Richeldis was told to take note of the measurements of the Holy House and build a copy of it in Walsingham.
Carpenters were instructed to build the house, but found themselves unable to do so and gave up. The next morning a miracle was discovered. The chapel was found fully completed and standing on the other dry spot. It was concluded that Our Lady had removed the Holy House to the place she herself had chosen.
King Henry III made his first of many pilgrimages to Walsingham around 1226. Following his example nearly all the Kings and Queens of England, up to and including King Henry VIII and Queen Katherine of Aragon, came on pilgrimage to the Holy House, until the Dissolution of the Priory in 1538.
The main route to Walsingham was from London via Waltham Abbey, Newmarket, Brandon, Swaffham, Castle Acre priory, and East Barsham.
The routes were marked by religious houses or wayside chapels to aid the pilgrims with their spiritual and temporal needs. The school house at Lea Bridge reputedly evokes the character of such a wayside chapel.