From ThinkSpain:

According to initial analyses, a large Roman bath house found on an archaeological dig in Villena, dates back to between the first century BC and the fifth century AD.

It was found on the 'Casas del Campo' site which came to light during work on the new AVE fast train link last year.

Also found on the dig, which is thought to be the site of a large Roman villa, have been several fragments of pottery as well as a path leading from the bath house to the main dwelling.