You might want to use the Newberry www.chicagoancestors.org website to locate churches.  With addresses before 1909 and 1911 you need to use the tools section for the present day address to insert in the locate section.  Using the present day address will bring up much information including churches in the area and indicate when they were established.  First Zion Evangelical seems to fit and the records are at the Newberry Library.