The origin of Baños is lost in the night of the times. There are proofs of it was inhabited by the Vetons, Pre-Roman people with Celtic references, which were particularly devoted themselves to agriculture and migrating cattle raising, and they may have used the natural pass that later was used by Romans to build the road "Vía de la Plata". (Silver Way). The oldest proofs that are preserved in this village date from the Roman Age and are related to the existence of a thermal water spring and the Roman road. The different authors that have studied this Roman Way called "Vía de la Plata" don’t agree in which may have been the name of this village, identifying some of them with the Mansio of Caecilio Vico or Caelionico, others with Banium or Aquae

The road preserves its route in two long strokes situated in the Northern and Southern town entries. The paved surface of the Northern stroke with almost two kilometres long, was restored in 1973. In this stroke, where an ascent to go through the mountain pass begins, two examples of drain can be seen. Near the Southern stroke, half a kilometre from the village, a little bridge made of Roman stonework is preserved, called of the Cube, that has got an only arch with 3.5 metres span and it’s very reformed.

During the Middle Ages, the “Vía de la Plata” lost economic importance and, after the Reconquest his route served to mark the frontier between the kingdoms of Castilla and León. Later it was also used to delimit ecclesiastical jurisdictions of the dioceses from Coria and Plasencia. Thus, Baños becomes a border village, generating two centres of population practically physically united, but differentiated administratively. Each district belonged to different kingdoms, to different dioceses (reason why there are two parish temples) and to different feudal lords.

The part corresponding to Santa Catalina parish church depended on the Kingdom of Castilla, and the Diocese of Plasencia and belonged to the Duke of Béjar (Zúñiga), while the parish district of Santa María made part of the Kingdom of León, belonged to the Diocese of Coria and to the Dominion of the Marquise of Montemayor. With the provincial division in 1833 Baños de Montemayor is constituted as an independent village. Finally, in 1959, went to belong to the diocese of Plasencia.

In the 18th century, Mr José González Laso, bishop of Plasencia, made important works in the zone, among them the reformation of the Spa, that was continued later by Mr Juan de Porras y Atienza, bishop of Coria. The first building for the baths, which brick vaults are still preserved, dates from that time.

19th century was the time of biggest flowering of thermal culture, and a new building for the spa and a Hotel were built.. Due to its special microclimate, Baños became a destination of holiday-makers, that built summer residences following the architectonic styles from that moment.