A stunning early-1900s wrought-iron market hall right next to Plaza Mayor — now a gourmet food hall rather than a working produce market.
Worth being upfront about: Mercado de San Miguel stopped functioning as a neighbourhood grocery market years ago and is now a tapas-and-tasting-stall food hall aimed squarely at visitors. The building itself — glass and iron, beautifully restored — is genuinely worth seeing; the food is fine but priced for the location, not for value.
Treat it as a browse-and-graze stop rather than a full meal — a glass of vermouth and one or two small plates, rather than trying to eat a full dinner there. Go either right when it opens or later in the evening to avoid the worst of the midday crush.
For a market that still serves its neighbourhood, Mercado de la Cebada in La Latina or Mercado de la Paz in Salamanca are far less touristed and give a more honest sense of how madrileños actually shop.
It sits right beside Plaza Mayor, making it an easy add-on rather than a destination in its own right — see it on the way between the Palacio Real and La Latina.