Jain Kings financed to build Pandavleni caves in favor of Jain saints for their stay. Initially, though it was started by Jains later, it turned into a significant center of Buddhism. Being 2000-year-old caves, it represents both the Hinayana and Mahayana Buddhism. Caves served as temples for early Buddhists and probably even as teaching centers. It has shrines, icons of Buddha, Jain Teerthankara Vrishabhdeo, Veer Manibhadraji, and Ambikabevi with the figures of Bodhisattva. There are skillfully chiseled water tanks that are very attractive on the rock with an overall good water management system. The inscription indicates that these excavations belong to Satavahana and Kshatrapa periods, spanning 2nd century B.C. to 3rd century A.D., whose capital was Pratishtana (modern Paithan of Aurangabad). The inscriptions mention the Kings like Krishna (c.205-187B.C), Gautami Putra Satakarni (c.106-130A.D), Vasisthiputra Pulumavi (c.130-158A.D), Sri Yajna Satakarni (c.171- 201A.D) of the Satavahana dynasty, and Nahapana (c.119-125A.D), his son-in-law Usabadatta of the Kshatrapas and a Saka family of contemporary Satavahanas. Later in the 5th century to 6th century, Buddha icons were added to many of these caves. Until the 6th to 7th centuries A.D., the occupation at this region has been noted, but later the subsequent periods saw very little excavation and alterations of the earlier ones.
The current name of these caves is linked to mythological adventurous brothers Pandavas from the Hindu epic Mahabharata. According to the local mythology, Pandavas made these caves to hide away from their enemies and relatives and spent some time here. Thus it is known as Pandavas caves. In the Marathi language, "Pandav Leni" means "Pandava caves". Many caves in India are linked with the legends of Pandavas.