How about taking part in an English trivia, watching English movies or going to language exchanges? Intercambios or language exchanges take place in several bars and restaurants. This way you get to know new people and at the same time, you can practice your English.
Some pubs and bars offer English trivia. If you like quizzes and trivia and if your level of English is already high, this is a fun way to still improve your vocabulary and your knowledge in general.
There are many cinemas that offer the option to watch movies in their original language. With the help of subtitles, you can already watch English movies even if your level is not that advanced yet.
In addition to this, there are many classes and activities offered in English. Why not join an English-taught yoga or dance class? Or maybe cooking classes or city tours? Madrid offers plenty of sight-seeing tours – many of them are even free!