Among the historical evidence of Moorish Azuaga, the Muslim geographer and traveler Al Idrisi mentions the settlement in the 12th century, alluding to it as a hilltop fort - (حِصْن زُوَاغَة - HiSn Zuwāghah).

In 1236 Azuaga was conquered by the Christian kingdoms of Castile, during the reign of Ferdinand III, by the Order of Santiago, directed at that time by Pelay Pérez Correa.

Azuagueños artist Juan del Castillo (1585–1658) did his major work in Seville, where he was the maestro of an atelier.

During the colonial era, Azuaga ranked seventh in Extremadura in the number of people who went to the Americas.

Between 1920 and 1960, Azuaga experienced major activity in mining lead and (to a lesser degree) silver, which brought renewed prosperity to the region, fluctuating between 16,000 and 18,000 inhabitants, but after that the population fell off rapidly as workers migrated elsewhere, nearly half of the town's population departing.

An identifiable group of azuagueños emigrated to Sant Boi de Llobregat (Barcelona).