An easy walk from Plaza Mayor is this gorgeous art nouveau marketplace that dates to 1916. It’s less of a fresh produce market (although there are grocery stalls) and more of a gastronomic destination to purchase the best that Spain has to offer, like cava, pimento (paprika), and saffron. There’s a host of tapas bars here serving all the favourites like patatas bravas, gambas al ajillo, and boquerones, with a glass of beer, rioja, or vermouth.To do your food shopping like a real Madrileño head to the vast Mercado de Maravillas in Cuatro Caminos. It’s Europe’s largest municipal market with 200 stalls.