Setenil de las Bodegas preserved many of its historical structures. The Fortaleza del Castillo is the Moorish castle that was ruined by the Christian attacks. Right next to it is the Iglesia de la Encarnación, constructed in the 16th century in Gothic style.
Several old Christian structures include the Iglesia Mayor de Setenil, a Gothic-styled church from the 15th century, the Ermita de San Sebastián, and the two hermitages: Ermita de Nuestra Señora del Carmen and the Ermita de San Benito.