Delphi is the famous oracle of antiquity, which history has some common points with Athens’ history. It also hosted Delphian games, like Olympian Games. Delphi site was actually established during classical times.
The God Apollo was worshipped exclusively at the Delphi oracle, not only honoured by the Games, but by Theofaneia celebration, a name that survived also during Christianity in Greece- today. The site was sacked by Sulla, the Roman General who invaded Athens as well, by also by Nero at 66 BC. Romans kept ancient Greek religion.
Christianity vanished ancient Greek religion, but Delphi’s oracle remained a religious centre throughout the 4th century, and the Pythian Games continued to be held at least until 424. During the modern excavations, a 5th century basilica was discovered. It was Emperor Julian who tried to restore the ancient religion, and the oracle is said to have given him the last answer:
Εἴπατε τῷ βασιλεῖ, χαμαὶ πέσε δαίδαλος αὐλά,
οὐκέτι Φοῖβος ἔχει καλύβην, οὐ μάντιδα δάφνην,
οὐ παγὰν λαλέουσαν, ἀπέσβετο καὶ λάλον ὕδωρ.
[Translation: Tell the king that the flute has fallen to the ground. Phoebus does not have a home any more, neither an oracular laurel, nor a speaking fountain, because the talking water has dried out.]
The site was more or less shut down around 381 but It should have been completely abandoned around 6-7th centuries.
During Ottoman period the place was still abandoned. The first westerner to visit them and describe them was the famous Cyriacus of Ancona, at 1463, who had also visited Athens. More famous travellers were Jacob Spon at 1675 and Lord Byron who visited the site at 1809.
Excavations started at 1893 from the French school. Today there is a museum there, where you can see Athenian Treasure and many more masterpieces. Classical greece route includes Athens- Delphi- Olympia and Mycenae.