The territory now known as Andalusia fell within the sphere of influence of ancient Mediterranean mythological beliefs. Phoenician colonization brought the cults of Baal and Melqart; the latter lasted into Roman times as Hercules, mythical founder of both Cádiz and Seville. The Islote de Sancti Petri held the supposed tomb of Hercules, with representations of his Twelve labours; the region was the traditional site of the tenth labor, obtaining the cattle of the monster Geryon. Traditionally, the Pillars of Hercules flank the Strait of Gibraltar. Clearly, the European pillar is the Rock of Gibraltar; the African pillar was presumably either Monte Hacho in Ceuta or Jebel Musa in Morocco. The Roman road that led from Cádiz to Rome was known by several names, one of them being Via Herculea, Hercules route returning from his tenth labour. The present coat of arms of Andalusia shows Hercules between two lions, with two pillars behind these figures.

Roman Catholicism is, by far, the largest religion in Andalusia. In 2012, the proportion of Andalusians that identify themselves as Roman Catholic was 78.8%. The principal characteristic of the local popular form of Catholicism is devotion to the Virgin Mary; Andalusia is sometimes known as la tierra de María Santísima (“the land of Most Holy Mary”). Also characteristic are the processions during Holy Week, in which thousands of penitents (known as nazarenos) sing saetas. Andalusia is the site of such pilgrim destinations as the Santuario de Nuestra Señora de la Cabeza in Andújar and the Hermitage of El Rocío in Almonte.