The oldest Miocene continental fauna in the Guadix-Baza depression from southern Spain is described in this paper. The small mammals remains from Cortijo de la Piedra fossil localities have a latest Vallesian (early Tortonian) age, and provide evidence of late Vallesian continental environments, which were unknown until now in southern Iberia. The age of the reported assemblage is previous to the establishment of the Guadix-Baza Basin sensu stricto. It represents the oldest Miocene continental mammalian fauna found thus far in southern Iberia, and proves the presence of connections with the foreland. The small mammals from Cortijo de la Piedra display a similar size and morphology as those recorded on the mainland, showing no particular traits that might be interpreted as insular features. These continental faunas suggest that the North-Betic Foreland Basin was at least partially closed at the end of the early Tortonian.