Kosher in Madrid used to be like looking for a pork sausage at a Jewish wedding - non-existent, until towards the end of 2002 two kosher restaurants opened within a few months of each other. The first kosher restaurants ever in Madrid.
The first one was La Escudilla on Santissima Trinidad ( Most Holy Trinity Street ), near Iglesia metro and the second was Naomi Grill, a bit further north near Tetuan metro at the end of Sor Angela. You'll have to call up their websites. I assume they're still open. If you go let us know how you found the food. I haven't been there in years.
Bear in mind that Madrid is not New York, Paris, Antwerp or even London in terms of kosher cuisine.