It is named after prince Guillermo Pío de Saboya, a member of the Pio di Savoia family, whose wife Juana de Moura owned property there. Later, barracks ("Cuartel de la Montaña") were constructed there. The Madrilene rebels who fought the Napoleonic invaders were executed there on the morning of 3 May 1808, as painted by Francisco de Goya.