A picturesque walk 6km southwest from Cafayate leads you to Río Colorado. From here, follow the river upstream (the Diaguita community encourages taking a guide, around AR$300 per group) for about an hour to get to a 10m waterfall, where you can swim. A second waterfall and more cascades are further up.
Look out for rock paintings on the way. There's a car park at the trailhead, as well as a campground and a drinks and snacks stand. A visit here can be combined with the Finca las Nubes winery.
Warning: if the river is high after rains in January and February, the route to the waterfall becomes strenuous and dangerous. Sudden torrents can come down quickly from the mountains at any time of year, so always keep an eye upstream while bathing.