The village is famous for the houses inside the caves, carved into the rocks above the river. Setenil is probably unique among the white villages, of Andalucia.
Where most white villages 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.