Zufre is itself most naturally visited as a day trip from Aracena, but the surrounding Sierra de Huelva contains several other villages worth combining into a longer circuit.
Aracena (18 km north) is the capital of the sierra and the obvious base for the area. Its main attraction is the Gruta de las Maravillas, a large show cave system beneath the town's ruined Templar castle. The cave is genuinely impressive — one of the finest in Spain — and busy enough to require advance booking in summer. The town also has good restaurants where you can eat the jamón ibérico that this corner of Andalucía produces.
Cortegana (35 km west) has a well-preserved medieval castle visible from the road below the village. The castle is open to visitors and gives good views over the surrounding sierra. Cortegana is a slightly larger town than Zufre and has more facilities.
Almonaster la Real (40 km west) has an unusual Moorish mosque converted into a Christian hermitage on a hilltop above the village — the mosque is one of the best-preserved in rural Andalucía, with its original mihrab and minaret still standing. The village itself is picturesque and the surrounding countryside quiet.
The Embalse de Zufre is a large reservoir a few kilometres south of the village, formed by damming the Rivera de Huelva. The reservoir supplies water to Seville and the surrounding area. The road along the western shore gives good views and the area is popular with local fishermen.