In general, tourists consider Madrid a fairly safe city, but some of them advise against delving into immigrant neighborhoods (such as La Latina). The Plaza de España and some neighborhoods north of Gran Vía can be unwanted encounters with drug addicts, while Casa del Campo and Parque Este are favored by local prostitutes and their clients.
It should also be borne in mind that in the capital of Spain is common petty theft: a stray tourist can pull out a wallet or other valuable things, although locals believe that in this regard, Madrid is safer for guests than the same Barcelona.
