Archaeologists at a dig in South Australia believe they have pinpointed the exact site of Mary MacKillop's first school.

Mary MacKillop - Australia's first Catholic saint - set up her first school in a stable at Penola in the state's south-east in 1866.

A dig led by Flinders University Associate Professor Heather Burke has been taking place for artefacts in the town.

Professor Burke says it seems likely they have now found the precise site of the stable where the school was first set up.

"We think we may have found the footings of an outbuilding," she said.

"We're really hoping that this is the site of the stable because clearly that's the building that's most important to that whole story.

"It's not the cottages on that block, but the stable that she put her school into, but we're just waiting on the results of some more excavation to see if any of the artefacts perhaps can enlighten us a little bit more."

She says more excavation will be done in the hope of shedding more light on the discovery.

"We'll continue working right through until late on Saturday and hopefully that'll give us enough time to excavate enough of the site to have a better idea of what we're really looking at and perhaps interpret it a little bit more securely," she said.

Footnote: Professor Burke later said that after "initial excitement" further work made it apparent the remnants of the stable had not been located.