The medieval tower of Villadiego, from the end of the 13th century, is considered the origin of this Shrine. This Mudejar-style building has an octagonal plan and is crowned with battlements. It has two floors covered with vaults, the lower a half-dome and the upper one a sail vault. Attached to the tower is the chapel, also Mudejar, whose presbytery has a groin vault on squinches with horseshoe arches. A wide ogival arch connects the presbytery with the central nave of the temple. It has three naves separated by semi-circular arches on pillars.
The entrance courtyard contains a collection of Roman archaeological pieces. The Shrine is consecrated to Our Lady of Villadiego, whose image is venerated as the patron saint of Peñaflor. On 14 August, a pilgrimage accompanies the image from the Shrine to the village, where she remains until the first Sunday in October.