In the bowels of the Palace of Villardompardo can be found the Arab Baths of Jaén, also known as Bao del Nio (in Arabic, Hamman al-Walad). The yearly attendance is over 55,000 and their size of 450 square metres makes them the largest in Spain and possibly Europe.

There are also the Museum of Popular Arts and Customs and the International Museum of Naf Art located in the palace.

They date back to 1002 and were constructed on top of the foundation of a Roman portico from a house or bath. The remnants of Almohad decoration in some of the rooms suggest that they were renovated in the 12th century.

They remained in use even after Fernando III El Santo converted the city to Christianity and took control in 1246. It ceased to serve as a bath sometime between the 14th and 15th centuries, when Christians set up tanneries in its rooms, evidence of which can still be seen in the building's warm and hot chambers. Eventually, they were filled with debris that would become the Palace's present-day substructure. In order to keep his palace in working order, Fernando de Torres y Portugal, 1st Count of Villardompardo and 7th Viceroy of Peru, buried and concealed the baths in the building's foundations and basements at the end of the 16th century.

The Diputación Provincial de Jaén acquired the palace in the early 20th century, and between 1901 and 1903 they demolished the palace's chapel so that they could construct the Hospicio de Mujeres (Women's Hospice) on the site. During the creation of the Monumental Catalogue of Jaén in 1913, Enrique Romero de Torres stumbled upon a portion of the Baths. In 1931, after a proposal from Manuel Gómez-archaeological Moreno's team, the building was officially designated as a National Monument and given the General Register number 528.

The architects Leopoldo Torres Balbás and Luis Berges Martnez oversaw the restoration project that began in 1936. The start of the Spanish Civil War halted this project. The restoration of the building began in 1970 under the supervision of the Directorate General of Fine Arts and was completed in 1984 by Ferrovial under the direction of architect Luis Berges Roldán, the son of the original architect. The rebuilding of the Arab Baths received that year's Medal of Honor from the Europa Nostra Association.