Hi, there are a lot of good gyms in Madrid.
In the north/north-west (around A-6 highway) you can find some of the best gyms in Madrid
CGA Pozuelo in Pozuelo de Alarcón is pretty good, has had gymnasts onto the higher levels in the Spanish system and they compete in the Spanish league with god results.
Escuela Municipal de Gimnasia Majadahonda in that same town of Majadahonda is also pretty good.
In Las Rozas there's a nice club too, even though at this moment their top gymnasts are not at such a high level. They had good results at nationals with their 11-12 year olds this year, though.
Other good teams but will probably be further, are San Blas (that's in Madrid city), Los Cantos de Alcorcón (that's in Alcorcón, a town to the south).
There are some others too, like CG Aluche, Tres Cantos that have had good results in the base (not-elite) levels.
What age/level is your daughter?