Zufre is small enough to walk entirely in an hour. The main sights — El Paseo, the parish church, and the Arab walls — are all within a few minutes of each other. The streets are steep and cobbled in places; comfortable shoes are worth wearing.
To explore the surrounding dehesa and sierra on foot, you will need a map. The tracks are not signed and GPS coverage can be patchy. The 1:25,000 IGN topographic maps covering the area are the most reliable navigation aid. The descent path to the river gorge begins near the far end of El Paseo and is steep but clearly used.
There is no taxi service in Zufre. If you are staying in Aracena and visiting by car, park at the village entrance and walk — trying to navigate the village streets by car is more trouble than it is worth.