Located in the northeast of the province, Setenil de las Bodegas is one of the most unique towns of the White Villages of the Sierra de Cádiz due to its unusual urban layout. The houses are built at different levels, with some below the level of the rock and others above it, creating cave streets, viewpoints and pockets of extraordinary beauty. This magical setting dotted with excavations forms the backdrop to a variety of unusual events such as the Semana Santa Setenileña - the village's Holy Week festivities - declared of National Tourist Interest in Andalusia.

Setenil's current location dates from medieval times, with traces of its Almohad past clearly visible, although the human presence in the area dates from the Neolithic period. Of the original medieval fortress only the Keep and an underground cistern remain. Its architectural heritage is completed with the Parish Church Nuestra Señora de la Encarnación, in late Renaissance Gothic style, and the chapels of Nuestra Señora del Carmen, San Benito and San Sebastián. The Old Town Hall has a magnificent sixteenth-century Mudejar coffered ceiling, unique in the province, and part of the so-called Route of the Catholic Monarchs, an itinerary designed for tourists to learn about the historical legacy of Setenil in connection with the Christian conquest in 1484. The municipality is also home to a wide range of trails and signposted walks through which to enjoy its privileged natural environment.