Walsingham's original shrine was built from a vision of a house in Nazareth, and it was destroyed thoroughly enough that nothing of the original structure survived the Reformation intact.
A vision of a specific building
Tradition holds that Richeldis de Faverches, an English noblewoman, experienced a vision in the eleventh century instructing her to build a replica of the Holy House of Nazareth, the home associated with the Annunciation, at Walsingham, a specific architectural instruction rather than a general call to build any shrine, giving the resulting building an unusually literal devotional purpose.
Burned on royal order
The shrine's statue of the Virgin was removed and publicly burned in London in 1538 on the order of Henry VIII during the dissolution of the monasteries, and the original shrine buildings were subsequently destroyed, ending organised pilgrimage to the site for several centuries until its twentieth century revival.
As this entry's companion article covers
The unusual modern situation in which both an Anglican and a Roman Catholic shrine were separately rebuilt at Walsingham in the twentieth century, restoring pilgrimage through two parallel, denominationally distinct institutions rather than a single reconstructed shrine, is addressed directly in this entry's companion article rather than repeated here.