Known by the name of Penniellos in documents from the 11th century, in which it is stated that it belonged to the jurisdiction of Clunia, it became dependent on the bishopric of Osma from 1136. In medieval records it is mentioned as a place, not as a town, populated by 39 inhabitants. According to the Becerro de las Behetrías (14th century), it is known that Pinillos was then considered an ancestral place belonging to various lords, later becoming the property of the Infanta Doña Blanca.

Traces of ancient life have been found in the Vega del Henar, in a place known as the bridge of San Pedro. Traces of Celtic and Roman culture have been found there. Sarcophagi, human remains and funerary stelae suggest that the presence of the first Christians crystallised in these places from ancient times. In the same plain it is possible to find a Roman road and a bridge from the same period.

The Church of the Assumption, one of the jewels of the Esgueva valley, was built here in the second half of the 12th century and is a great example of rural Romanesque architecture.

Along with this jewel, you can find the hermitage of Nuestra Señora de la Blanca (from the 12th century with Gothic additions) and the Henar Valley or San Pedro Bridge, where you can find the Cuevas del Cura, from where the indomitable Burgos guerrilla known as Cura Merino prepared ambushes against the French armies.