Zufre has very limited eating options — this is a village of around 600 people with no tourist trade to sustain a restaurant scene. The one reliable option is the bar on the main square, which serves simple tapas and sometimes a menu del día at lunchtime. Come with low expectations and you will not be disappointed; the jamón ibérico you may encounter, sourced from the surrounding dehesas, is genuinely excellent.
If you want a proper meal, plan ahead and either bring food for a picnic by El Paseo or make the drive to Aracena, 18 kilometres away, which has several good restaurants.