I was in Madrid a few years ago— it was just for a weekend conference, but my flight was 12h delayed leaving, so I ended up getting a pretty long unplanned walk around the city.

I felt very safe there, though I think the biggest thing was how insanely courteous the motorists were. Compared to North America where even when the signal is on your side you have to watch for a gap in turning cars and dart across the street, in Madrid I would just be walking up to a crosswalk and cars would already be voluntarily coming to a complete stop to wait for me to begin and then fully finish crossing. Night and day difference.