To give some context, originally a ‘nazareno’ is somebody paying penitence for sins committed since last years Easter. Part of their ‘penitence’ is to march in procession covered with those robes. The ‘capirote’ (the hood) is intended to keep those sinners (that could be important or well known people) anonymous.

I’m not sure if this is still valid today or if it’s now just a performance. Someone from the south of Spain will more about that than myself.