Some of the players decided to regroup in a new ensemble, which would assume the role of the Sociedad in organizing symphonic concerts and thus keep the classical music scene alive in Madrid.

The idea of a new orchestra in the city was conceived initially at the house of the violinist José del Hierro, who enjoyed the support of the two companions with whom he regularly played chamber music on tour, violist Julio Francés and cellist Víctor Mirecki Larramat.

As a large number of the section leaders were also professors at the Madrid Royal Conservatory, the group managed to recruit young talents quickly to its vacant posts.

The musicians held their first meeting in the rehearsal hall of the Teatro Real in December 1903, during which they decided on the name Orquesta Sinfónica de Madrid.

The orchestra was constituted as a private, autonomous company of musicians, which would rely initially on its members to supply the setup funds for its operations (including the purchase of furniture and hiring of rehearsal halls and scores).

It would avoid any dependence on external agents, whether public or private, who might intervene in its operations and impose conditions on its members, a misfortune which had befallen the defunct Sociedad.

During his tenure, the orchestra determined its artistic priorities (above all, the promotion of Spanish composers and soloists), found its particular sonorous style, and established the principles of musical outreach which enabled it to give educational concerts and attract new listeners: lower ticket prices, more seats, and frequent tours.

It succeeded in attracting some illustrious guest conductors from abroad, such as Igor Stravinsky and Richard Strauss, and gave two important world premieres: Falla's Nights in the Gardens of Spain with pianist José Cubiles, at the Teatro Real, April 9, 1916; and Prokofiev's Second Violin Concerto with violinist Robert Soetens and the composer himself in the audience at the hall of the Teatro Monumental, December 1, 1935.

The aftermath of the war marked the start of a long period of crisis for the orchestra, which began with the death of Fernández Arbós in June 1939, following the first concerts that year.

To this blow was added the absence of the section leaders who had died during the Civil War or fled into exile after the victory of General Francisco Franco.

Finally, in 1940, the Spanish National Orchestra was formed, with its seat in Madrid, and drew away further players from the symphony, since it offered them the generous salaries of civil servants.