Hi, Anthony,
It’s a great camino! Leaving town, you have two clear starting points and lots of places in between. First would be to start at the church of Santiago and San Juan in Old Madrid. You can then walk through central Madrid, it’s a very nice walk, up the Castellana and past the Real Madrid stadium, and to the Plaza de Castilla where you will find the first arrows.
Here is a map showing the in-Madrid options with comments
https://www.caminodesantiago.me/com...es-on-the-camino-de-madrid.11148/#post-388547
The exit from Madrid is one of the least industrial, least ugly, quickest big-city exits on any camino. You walk north to the huge scandal-ridden pointy skyscrapers, turn left and with a few welll marked rights and lefts, you go under the M-30 (or maybe it’s the M-40) and then bam you are in the country.
Buen camino, Laurie