Madrid de los Austrias is the Habsburg city — the dense knot of squares and slate-roofed palaces the Spanish kings raised between the 1560s and 1700, before the Bourbons widened everything. Two and a half kilometres, best on an early morning before Plaza Mayor fills, walking the small things between the famous ones.
Start in Plaza de la Villa, where the city ran itself for centuries — three buildings, three eras, side by side. Cut to the Mercado de San Miguel for the iron hall and a quick vermut (the local fortified wine), then through the arch into Plaza Mayor itself. Walk the full arcaded lap; this is the set-piece, and it earns the lap. Leave by the Arco de Cuchilleros, the steep stepped arch down the knife-makers' lane, past the restaurant that claims to be the world's oldest.
East past the prison-turned-ministry on Plaza de la Provincia — look up at the chapiteles, the Flemish slate spires that make the Habsburg skyline — and finish at Puerta del Sol, the country's measuring point. The bear, the strawberry tree, and the Metro under your feet.