This work presents the application of Fenton's reagent process combined with anaerobic digestion to treat an olive mill wastewater (OMW). Firstly, OMW was pre-treated by chemical oxidation in a batch reactor with Fenton's reagent, using a fixed H2O2/COD ratio of 0.20, pH = 3.5 and a H2O2/Fe2+ molar ratio of 15:1. This advanced oxidation treatment allowed reaching reductions of 17.6 and 82.5% of chemical oxygen demand (COD) and total polyphenols (TP), respectively. Secondly, OMW treatment by anaerobic digestion was performed using previously adapted microorganisms immobilized in Sepiolite. These biological tests were carried out varying the substrate concentration supplied to the reactor and COD conversions from 52 to 74% were obtained. Afterwards, Fenton's reagent followed by anaerobic digestion was applied to OMW treatment. This combined process presented a significant improvement on organic load removal, reaching COD degradations from 64 to 88%. Beyond the pollutant load removal, it was also monitored the yield of methane generated throughout anaerobic experiments. The methane produced ranged from 281 cm3 to 322 cm3 of CH4/g COD removed. Additionally, a methane generation kinetic study was performed using the Monod Model. The application of this model allowed observing a kinetic constant increase of the combined process (kFN = 0.036 h−1) when compared to the single anaerobic process (kF = 0.017 h−1).