Along the first millennium BCE and up to the beginning of the Roman conquest at the end of III century BCE, the southeast part of the Iberian Peninsula was colonized by Phoenicians, Greeks and Punics. All these cultures influenced the religious and funereal world of the indigenous peoples. Tartessians and Iberians were the main Protohistoric cultures product of such external influences in this geographical area. In this paper, I review the main results of archaeoastronomical works I have carried out in Protohistoric archaeological sites of the south and southeast of the Iberian Peninsula. These works give pieces of information that provide a diachronic view of the role of astronomy in the ritual during the first millennium BCE. The Tartessian/Phoenician sanctuaries of the Guadalquivir Valley show evidences that the cult to Baal and Astarte may have rituals related to the sun at solstices and Venus at its southernmost setting, respectively. Solstices seem also to be present in the ritual held in coastal sanctuaries of the Andalusian coast and in other early sanctuaries of the Iberian Culture. A change in the astronomical elements of the ritual seems to appear around the IV century BCE. Many Iberian sanctuaries dated at or after that century show equinoctial orientations and/or markers on topogaphic features of the horizon. Iberian cave-sanctuaries tend to be oriented westerly and some of them show orientatons toward the sunset at equinox or solstices. Striking illumination phenomena have been found in some cases, they could have been used as elements in the ritual or even to recreate a perceptive experience of the divine among the Iberians.