Although Madrid has been the seat of the Spanish Crown since 1561, the diocese was only created in the late 19th century and gained the status of an archdiocese in 1991.

It was founded on 7 March 1885 by Pope Leo XIII as the Diocese of Madrid y Alcalá de Henares / Matriten(sis) et Compluten(sis) (Latin adjective), on canonical territory split off from the Metropolitan Archdiocese of Toledo.

Pope John Paul II gave the Archdiocese Metropolitan status on 23 July 1991, while creating two suffragan dioceses split off from its territory: Getafe and Alcalá de Henares.

On 20 January 2021, a large explosion damaged Our Lady of Paloma parish in downtown Madrid, and killed four men, including a parishioner and a priest of the parish, Ruben Perez Ayala.

The explosion was caused by a gas leak in a boiler which the parishioner, David Santos Munoz, an electrician, had been called to inspect.