Three kilometres from the town centre are the Nerja Caves, where skeletal remains and artefacts, dating from 30,000BC to the Bronze Age, were discovered in 1959. Wall paintings inside the caves date from the Palaeolithic and post-Palaeolithic periods. The visitor is able to enter various different chambers including one which houses the world's widest column as well as very large independant stalactites and stalagmites. Every July a festival of flamenco music and dance is held inside the caves.

Nerja was a Roman settlement known as Detunda. Ruins of Detunda have been found close to Maro just 3 kilometres to the east. The Castulo-Malaca Roman road, which linked the provinces of Jaen and Almeria passed through Nerja and the remains can be seen on the outskirts of the town along with an old Roman bridge.