The ruins of a Moorish castle sit near the highest point of Montefrio. Being built midway between the Sierra de Priego and Sierra Parapanda, and commanding the open valley between these ranges, it became one of the chief frontier fortresses of the Moors in the 15th century. The castle was rebuilt by Catholic conquerors in 1507.
The first written record of church in Danmark locality date back to the year 1291. Close to the church are several stones with a Christian text and cross inscribed. The oldest parts of the present red-brick church are from the 1300s. In the late 1400s the church was enlarged to the appearance it has today. The church has been modified both internally and externally several times, among other things after the fires in 1699 and 1889. There are lot of well-preserved mural paintings in the walls.