Settlements have existed on the site of Beja since the Iron Age. Vestiges of this period have been discovered as recently as the 1990s, and some of these finds are proudly displayed in the town’s archaeological museum. During Roman and Muslim times, Beja was considered an important administrative centre (locals will stress that this role was wrongly attributed to Évora alone). The Romans called the city Pax Julia (shortened to Pax, which then became Paca, Baca, Baju and finally Beja), after Julius Caesar restored peace between the Romans and rebellious Lusitanians. It became an important agricultural centre, booming on wheat and oil.

Little evidence remains of the 400 years of subsequent Moorish rule, except for some distinctive 16th-century azulejos in the Convento de Nossa Senhora da Conceição (now the Museu Regional). The town was recaptured from the Moors in 1162.