Although most of the mythology associated with Delphi is connected with Apollo, he was not its first inhabitant; this distinction belonged to either Gaia/Ge (the Earth goddess) or Themis (another primordial goddess). In the Homeric Hymn to Apollo, Apollo killed a monstrous snake, the Python (that gave the god his title Pythian) and left it to rot (an etmylogical play on the Greek verb pytho, "I rot"); the early name of Delphi was supposed to be Pytho. Some have seen this as representing the displacement of the site's earlier divine inhabitant. So too the name Delphi received an etymological explanation: Apollo appeared in the form of a dolphin (delphis is the Greek word for "dolphin") to sailors on a Cretan ship. Leaping on board, he brought the terrified sailors to Crisa, the coastal port near Delphi, where he transformed himself into a handsome youth and appointed the sailors as priests of his temple. Some have seen in this myth of Cretan immigration a connection with Apollo's origins in the Near East, since Crete was the main point of connection between the Levant and the Greek-speaking world. It too might explain the prominent role played by the Delphic oracle in marine expeditions, particularly when founding new colonies. Delphis is also the Greek word for "womb" (that distinguishes the dolphin as a mammal from other sea-creatures), and this is probably also connected with the ancient conception of Delphi as being the center of the world. According to other sources, Apollo had to travel to the valley of Tempe (in Thessaly) to purify himself from the blood of the slain Python, and this rite of purification was celebrated at the Pythian festival.

Apollo shared the sanctuary at Delphi with Dionysus. Every fall Apollo departed for his winter quarters in the land of the Hyperboreans (a distant fabulous land in the North), returning in the spring. During his absence the Pythia did not deliver oracles, and Dionysus ruled over Delphi.

The spring of Castalia to the East of the sanctuary proper takes its name from Castalia, a girl of Delphi, who threw herself into the spring to escape the unwelcome advances of Apollo.