Ancient Buda (Óbuda) was already inhabited in the Paleolithic Age. Nomadic hunter-gatherers camped here, near the warm springs which attracted a wide variety of game. In the middle of the first millennium, the Celts arrived on their first migration from the areas north and east of the Black Sea. They built a fort on the banks of the Dona, atop what is known as Gellért Hill. It was known as Ak Ink, which means "spring rich in water." The hillfort occupied some 30 hectares (75 acres) and became a thriving trading center for the mid-Danube Valley, as indicated by the discovery of coins from many parts of the known world. Archaeological finds also suggest it was a densely populated area with separate districts for various craftsmen. Smelters and foundries were in one area, potters in another, and weavers in a third section of the fort.

When the Romans arrived, early in the Christian era, they built a large fort some five miles to the north. The fort was sited at the only place within a hundred miles where the river could be crossed. They retained the original Celtic name, but Latinized it to Aquincum. They also built a civil town and administrative center. By the year 106, the town had grown to a population of near 20,000.

Romans stationed garrisons all along the Danube River in the Pannonia region, known today as Hungary. In 106 AD, Emperor Trajan established Dacia (Romania) as a province and reorganized Pannonia. Aquincum was one of many Roman forts established on the Danube. Eventually it became the seat of government for Pannonia Inferior and the fort became a municipa. Aquincum had all the "civilized" luxuries of a Roman city, such as baths with heated waters and steam rooms. A sewer system ran underneath the pavement of the streets. Water was carried by aqueducts from springs 4 kilometers away to the baths, fountains, and homes of the wealthy. Artisans, tradespeople, and vine-growers lived there. The most prosperous period was in the 2nd and 3rd centuries AD when Emperors visited Aquincum regularly and it was an important center for trade. The cult of Mithras was popular in Aquincum, along with early Christianity. There was an amphitheater that could hold over 5,000 people. Aquincum fell to the Huns and Germanic tribes during the 5th century AD.