Penally beach is located at the very far end of Tenby's South Beach. While it's technically connected to the South beach of Tenby, it's classed as a separate location. In the summer months when Tenby tourist season is in full swing, this is a good beach to visit, to get away from the crowds.
While you can get to Penally beach by walking the length of South Beach, we recommend driving down (or catching the train!) to Penally train station, which has a parking area. You can then take a small signposted walk directly to the beach. Much easier if you plan to bring things to use on the beach and/or if you've got children with you.
Dogs are allowed on Penally beach all year round, which is something to consider. Tenby's main beaches all have dog restrictions during the summers months.