Nevşehir sits in Cappadocia, and for most travellers the province is Cappadocia — the valleys, the rock churches and the underground cities are all inside its borders or on its edge. The ancient geographer Strabo drew the region far wider, from the Taurus mountains in the south to the eastern Black Sea in the north; today the name covers the area of five provinces, Nevşehir, Aksaray, Kayseri, Niğde and Kırşehir, with Nevşehir at its centre.

The name is older than Greek. Cappadocia is held to be the Hellenised form of Katpatuka, the word the Persians used, which in turn is traced to Khepat-ukh in Hurrian — Khepat being the chief god of the district, so the whole name reads as the land of Khepat's people.