In the vicinity of San Esteban de Gormaz is the Natural Park of the Lobos River Canyon, which offers multiple hiking trails and stunning natural beauty.
As for the gastronomy of Soria, some typical dishes are the Castilian soup, the torrezno, the roasted lamb, the migas and the chuletillas de cordero. In San Esteban de Gormaz, in particular, you can try the "cojonudo", a typical local sandwich made with chorizo and egg.
After lunch, I recommend a walk through the historic quarter of San Esteban de Gormaz, where you will find monuments such as the church of San Miguel, the hermitage of Virgen del Rivero and the medieval wall. You can also visit the Eagle House and the Keep.