Box Bay is a picturesque sandy cove surrounded by high limestone cliffs, situated just east of Broad Haven South beach. Access to the shore is not easy and you should not attempt to visit this beach unless you are confident of your ability to reach it safely and to get off again.
There are a few ways onto the beach, the best of which is a 30 foot climb down the rocks on the west side of the bay. You need to be reasonably good at climbing down rocks and a rope would definitely be advisable, but specialist climbing skills or equipment are not necessary. The route is indicated in photos below and needs to be done around low tide. A rusty belay stake has been fixed into the rocks just before the steepest section. If you find a metal survey post, you're too far to the south.
Behind the beach is a doline known as Sandy Pit, which connects to the beach via a small cave, but this cave is almost completely blocked by rocks. If you're of thin build and are comfortable squeezing yourself through a narrow gap you could get through this way, but take care not to get stuck!
Once on the beach, there is fine golden sand and plenty of caves to explore, but make sure the tide doesn't cut off your exit route.