The Roman villa of Lacidulia[citation needed] or Lacidulerium,[1] situated in an estate near to the present village, has been traditionally considered the ancestor of Grazalema.

During Muslim rule in the 8th century, these lands were populated by people of North African origin and from them, the area acquired the name of Raisa lami Suli. During this period, its economy was organised around forestry, agriculture, farming and textile manufacture.

With the Christian conquest in 1485, Zagrazalema, as it was called at the time, became part of the lands of the Rodrigo Ponce de León y Núñez. It became economically important as of the 17th century thanks to the drapery industry which produced the famous shawls of Grazalema. In the first years of the 19th century, during the War of Independence, Grazalema suffered attacks and sieges from the Napoleonic troops who partially destroyed the village.