Declared a Historic-Artistic Site in 1951, Sepúlveda reflects the influence of the Romanesque style in its monuments and streets, dating back to its era of greatest splendour in the 11th to 12th centuries.

Sepulveda is the site of the first Romanesque church constructed in the province, El Salvador Church, dating back to 1093. It has only one nave with a semicircular apse and a tower separate from the nave. Another site worth visiting is the 12th-century Santa María de la Peña shrine, located on the outskirts of the town above one of the deepest gorges along the Duratón River. Its most characteristic feature is the tympanum in the doorway, which is unique in Romanesque architecture in Segovia. Other sites of interest are the fortress of Fernán González, the walls, some of the old doorways and the town square, as well as a number of small churches and the Fueros Museum, which is located in the Santos Justo y Pastor Church. A few kilometres from the town is the Hoces del Río Duratón nature reserve. Within it is the shrine of San Frutos, the patron of Segovia, and the ruins of the monastery of Nuestra Señora de la Hoz.