The Connellys sailed for Europe from New Orleans in December 1835. Cornelia was received into the Catholic Church here in St. Louis Cathedral in New Orleans, Louisiana before they sailed. Pierce waited until they reached Rome, because, even at this stage, he was exploring the possibility of becoming a Roman Catholic priest.

In 1999 the Diocese of New Orleans dedicated a statue to Our Lady of Prompt Succor and 5 other statues of women founders of religious congregations who are associated with the history of the diocese, including St. Frances Xavier Cabrini, St. Rose Philippine Duschene, St. Katherine Drexel, Venerable Cornelia Connelly and Henriette Delille. The statues may be seen in the Old Ursuline Convent garden.