The Via Algarviana passes through Monchique between spectacular climbs to the hills of Picota and Fóia, making Monchique a great base for hiking. It's around 10.5km return to the top of Picota, and 8km one way to the summit of Fóia. There are several other reasonably well-marked walks in the vicinity.
From Monchique, the Trilha dos Moinhos is a 10.3km circuit of the hills above town, offering some fabulous views. From the top of Fóia, there are loop trails of 6.5km and 17km, while Caldas de Monchique, Picota and Monchique are linked by an 18km circular trail.