Named after its once flourishing wineries - bodegas - Setenil is probably unique among the pueblos blancos, white villages, of Andalucia. Where most pueblos blancos were built on protective bluffs and pinnacles, this town grew out of a network of caves in the cliffs above the rio Trejo north-west of Ronda. Its blinding white houses seem to emerge from the rocks, and some have rock roofs and even olive groves on their roofs.
There has been a human settlement here since at least the Arabic Almohad period in the twelfth century. Given the evidence of other nearby cave-dwelling societies, such as those at the Cueva de la Pileta west of Ronda, where habitation has been tracked back more than 25,000 years, it is possible that Setenil was occupied much much earlier. Most evidence of this would have been erased in its continued habitation. It was certainly occupied during the Roman invasion of the region in the first century AD.