Caerfai Bay is a popular sandy beach situated just south of St David's, and reached by a narrow lane from the A487. A small, free car park on the cliff top overlooks the bay. Access to the beach is a short, moderately steep walk down a concrete path with a few steps at the bottom.
The beach is backed by cliffs of green and purple sandstones, with caves and rock pools to explore. At high tide the sand is mostly covered. Swimming is generally safe within the bay, but there can be strong currents just outside. Sheltered and south-facing, it is a good beach for sunbathers, and dogs are allowed at all times. There are no facilities here, but the National Park Information Centre is at the St David's end of the lane and has P&D parking, toilets and a cafe.