The municipality of Almonte, and therefore the park, is situated in an area in which public manifestations of religious fervor have been frequent throughout the centuries. The deities of nature and water were worshiped by the ancient Iberians, as in the goddess cult of Cybele. The cult rituals, similar in many ways to current Rocieras celebrations, were quickly adapted by the early Christians of these lands to be assimilated in their liturgy. They built a small basilica here, now defunct, but it was mainly after the reconquest of the area in 1262 that the Marian devotions were institutionalized. About 1270–1284, Alfonso X reconstructed the Chapel of St. Mary of Rocinas, and in 1337 Alfonso XI made the first recorded mention of the Marian cult in the area:
The image of the Virgin at the Hermitage of El Rocío dates probably from the 13th century, although the current iconography representing the Virgin as a lady of the royal court was adopted in the late 16th century, according to the fashion of the time. The popularity of the cult of the Virgen del Rocío in modern times has raised concerns about the annual pilgrimage's effect on the natural environment of the park.
The park is used by pilgrims on their way to the Romería de El Rocío. As this event attracts a million pilgrims annually, it has a significant negative impact on the park's eco-system. The overcrowding of pilgrims around certain dates is evident not only in the village of El Rocío where the shrine is located, but also in places within and outside the park such as the Piara del Acebuchal, the Ajolí Bridge, Boca del Lobo and the Moguer road. This has been a publicity windfall for the park, but requires stepped-up park resources for fire prevention and general monitoring, and also has had a significant negative environmental impact (e.g., increased danger of wildfires, off-road SUVs damaging sensitive ground, etc.) denounced by environmentalists.