Modern Setenil evolved from a fortified Moorish town that occupied a bluff overlooking a sharp bend in the Rio Trejo northwest of Ronda. The castle dates from at least the Almohad period in the 12th century.

The site was certainly occupied during the Roman invasion of the region in the 1st century AD. Setenil was once believed to be the successor of the Roman town of Laccipo, but it was subsequently proved that Laccipo became the town of Casares in Malaga. 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 by continuous habitation.

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