According to legend, Magdalena cakes were first made in the region of Valencia in Spain. The story goes that a nun named Madelena in the 18th century made these cakes for pilgrims who traveled to Santiago de Compostela. These pilgrims came from all over Europe and often had little to eat during their journey.

The Magdalena cakes quickly became a popular snack among the pilgrims because of their soft texture and sweet taste. It wasn't long before the people of Valencia started selling them to the pilgrims and other travelers passing through the region.

Today, Magdalena cakes are a beloved pastry throughout Spain and are often eaten for breakfast or with coffee. They are also popular as a snack for children and are often served in small paper cups in Spain.